Locke is the second person Terra meets upon awakening from the Empire's control, and she is the character that she develops the closest relationship with over the course of the game. Considering Terra's character, there are two arguments you could make. Either she's too overwhelmed with recent events that there's no room for love in her mind, or she's too concerned about love not to consider the possibilites of a romantic relationship with Locke. I tend believe the latter- Terra is at a very emotional age and she's a kind person besides. Furthermore, her personal journey within the game is to discover what love is. Clearly love is the first thing on her mind, and the fact that Locke is a clearly dominant personality in a world where she knows no one makes it seem like she would immedeatley turn to him.
Not that Locke's behavior discourages that line of thinking. Locke's up to his old chivalry, and his special care and desire to protect pratically beg women to fall for him. (I mean, it's pretty clear that I have.) I don't believe that Locke thought of Terra in a romantic way at this point, because he was too caught up in his tangled past, but he certainly felt a burning need to watch out for her, reassure her, and keep her safe.
Locke: Someone important to me was jailed by the Empire. I've hated the Empire ever since... I joined the Returners when I realized the Empire was rotten to the core. I wanted to make a difference.
Terra: But...I have no significant "other" in my life...
Locke: That's not entirely true. Besides, I'm sure there are people who feel YOU'RE important to them! They are counting on you...
No signifigant other, eh, Terra? You're not getting off that easily. Terra takes Locke's words to heart and joins the Returners (or doesn't, if you're me and keep on refusing to get the better artifact.) Whatever the case, Locke clearly feels protective of Terra, and Terra is closer to Locke than everyone else. When Terra converts to her esper form, Locke is determined to save her, and leads the party. Locke is first at her side, with espers, when she returns. Even after the infamous Opera Scene, Locke is the one who gets worried about Terra-- he suggests they head back to Zozo to check up on her.
Locke: Please wait for me... And...please...don't let a lecherous young king, who shall remain nameless, near you!
Okay, so I mainly included this quote because it makes fun of Edgar. But it's very clear that Locke cares about Terra and vice-versa. Throughout the World of Balance, Locke is dedicated to protecting Terra, even after Celes enters the picture. In the World of Ruin, where Locke and Terra are optional characters, their relationship doesn't progress any further, but Terra's quest for love certainly has. One of my favorite parts of Final Fantasy VI is that she finds resolution from familial and not romantic love. Indeed, for a game so much about relationships, Final Fantasy VI has very little romance.
So, what can I say about Locke and Terra? Canonically they have a pretty strong bond, because unlike Celes, Terra doesn't mind being saved. Of all the Returners, Terra might be closest to Locke. Romantically, there're possibilities, but it's mostly in how you want to interpret things. Hey, I like the pairing, so I'm not really going to analyze it more than that.