Battles of Salt and Sighs by Val Saintcrowe

Two sisters.
Two dark fae male captors.
This is war, and they are the spoils.

Prantia Onivia’s wedding feast is invaded by death fae rebels, who destroy everything in in their path and cut a bloody swath through the night. Onivia’s new husband is killed, as are her father and brothers. Her only surviving family member is her sister Magdalia.
Magdalia is Favored, which means she is in possession of a rare and powerful magic. The Croith, the death fae’s Night King, wants to make use of her talents.
Onivia vows to save her sister. However, she is being held captive in a fae war encampment as the Centurion Larent’s prize. She is powerless to stop him from doing what he wishes with her, and she is marked for the centurion’s bed.
Magdalia is taken to the north, to the capital city, where the Night King has invaded the emperor’s palace, and where he waits for her presence eagerly. But when she is thrown down at the hem of his black robes, she can’t help but be horrified.
She knows him.