The Bride of the Blue Wind - The Sisters Avramapul, #1

What the gods desire, they take. When the gods take a person, there is not much one can do about it, even if there seems something strange and terrible about the god. Through the gates of the eastern mountains pass only the gods, the dead, and the heroes of legend. Mere mortals do not go farther than the tombs lining the roads of the Middle Desert. Except for the daughters of the Bandit Queen of the Oclaresh, that is.
The lord of the Blue Wind took their youngest sister. When Pali and Arzu discover that there is something gravely wrong, they decide that the gods work through the hands of men, that justice binds everyone-god, man, djinn, or demon-and that they are not afraid of the road east.