Would one be sinful for joking with his sister by saying, "You should thank me," without intending to be arrogant?

You bear no sin for what you said, whether you were joking or serious, and there is no arrogance in it. Thanking people for their kindness is something encouraged by the Sharia, as the Prophet, peace and blessings be upon him, said: "Whoever does not thank people does not thank Allah, the Almighty and Majestic."