There isn't any hot, full-blown, passionate romance with Fall-From-Grace; but depending on the things you say to her, she might develop some very deep feelings for the Nameless One. She doesn't kiss him (it could kill him), but at one point she touches him with her finger, which presumably causes an interesting sensation since she's a succubus. In one scene, she says she doesn't want him to forget her (by losing his memories again). In another scene, when she's afraid they will be separated, she vows to meet him again no matter where he might go. In my opinion, that's pretty strong stuff.
The romance with Annah is a little more overt. I don't think the game ever gives you option to let the Nameless One tell her that he loves her (I suppose it would be out of character for him), but Annah does profess her own feelings at least a couple of times. When they might be separated, the Nameless One tells her that she doesn't have to say anything; he already knows. It's disappointing, but you have to wonder how many times the Nameless One has been loved in his unthinkably long life. Maybe it's better for him to stick with a 12,000-year-old succubus who can live as long as he can.
Technically, the "romances" are based on the function called "morale". There are all sorts of dialogue options that can increase or lower Annah or Grace's morale. For example, if you make rude comments about Annah's tail, that lowers her morale. If you hire a prostitute, that lowers Grace's morale. I don't want to mention any specific events because I don't want to spoil the game, but some of them definitely have romantic overtones or obvious jealousy. They don't involve flowers or poetry or formal courtship, but I'd be surprised if you don't detect those overtones. That's the way I see it, anyway.