Yes, 'Highschool DxD' has a large fan base, and the 'asia' aspect can add an interesting cultural element to fanfiction, making it a popular theme for many fans to explore different storylines within that setting.
I'm not sure if there is a specific fanfic exactly like that. Fanfics can vary widely, and while there might be some that involve Issei's sister in the Highschool DxD universe, a 'lemon' themed one might be harder to find or might not be in line with the general community guidelines. It's important to note that 'lemon' usually implies adult - themed content which is often restricted in many fanfic platforms.
The Highschool DxD manga has indeed finished. It wrapped up after completing all the planned story arcs and providing a satisfying conclusion for the readers.
To create a compelling OC, consider their abilities in relation to Excalibur. Maybe they have a special power that only activates when they are in close proximity to the sword. Or they can communicate with the spirit of Excalibur. Their appearance should also be unique. It could be a mix of modern and medieval styles, like wearing a school uniform with a knight's cape. This visual aspect will make them stand out.
If Spawn were to interact with the main characters, he would bring a whole new level of seriousness. He has a dark past and a lot of baggage. When it comes to Issei's goal of becoming a harem king, Spawn might find it absurd but also interesting in a way. He could offer his own perspective on power and how to use it responsibly, which would be a contrast to the more carefree attitude of some of the Highschool DxD characters. And with the other characters like Akeno and Koneko, he'd be sizing them up, trying to figure out if they're threats or allies.
The storylines can be combined by creating a common threat. Suppose an enemy emerges that is interested in both the power of the Bijuu and the power sources in Highschool DxD. This would force the characters from both universes to team up. Also, the cultural differences between the Naruto world and the Highschool DxD world can be explored. Naruto could introduce concepts like ninja clans and shinobi training to the DxD characters, while they could introduce him to the complex social hierarchies and supernatural politics in their world.