Jeanne D'arc IS featured at one point (when France is having that flashback about how he lost so many wars) leading the French army while England makes fun of France for having a girl as a leader. Hetalia tends not to go into the grim bits of history (since it is still a comedy show) and doesn't show her being burned at the stake, etc. FrancexJeanne is just like EnglandxQueen Elizabeth... it's just a pairing that fans thought up, as far as I know.
--In a more recent comic, France meets Jeanne's reincarnation, Lisa. The way he talks about Jeanne being reincarnated (and Lisa has no idea what he's talking about...), one can assume he held some sort of feeling for her, though unknown whether it was romantic or more like her being a younger sister-type woman for him.