I think the two of them are dead. Ever realize how after the credits roll there are two sets of flies buzzing over two separate spots on the ground? Those are the bodies of the brother and sister. I personally think that they fell out of their tree-house and both landed in a different part of Limbo. The sister got there first, and it looks like she's burying her body, or her brother's body. Notice how when you find her it's really bright and the tree-house looks nice? In the title menu, the tree-house is old and broken.
That's what makes Limbo so amazing. The game leaves the ending so open that I don't think there's really a wrong guess as to what ACTUALLY happened to the brother and sister.