The assailants barged into the house of a Dalit widow and shot dead her children Sheila, 17, and Rajendra, 15,
The incident took place in the Bakshi Ka Pura village and led to protests by the local people.
While the police is yet to find the motive behind the killings, the preliminary probe has exposed several loose ends.
According to a police official, the door to the house was locked from inside and the the body of Rajendra was hidden in a heap of straw, but the sister's body was on the floor.
None of the villagers heard gunshots during the time the killings were said to have taken place.
The victims' mother Saroj Devi had gone to visit her elder daughter in the Barauli area and returned on Thursday to find the door locked from inside. She opened the door with help from neighbours and found blood strewn all over.
The siblings had been shot in the chest and abdomen.
Deputy Inspector General K.P. Singh, who inspected the crime scene along with Kaushambhi Superintendent of Police Abhinandan, said three police teams had been formed to investigate the case.
The senior officer said that initially Saroj Devi told them that she had no idea why anyone would kill her children, but later she informed them about a dispute that she had with some people over a plot of land.
( With inputs from IANS )