The suspect had been jailed for murdering his mother five years ago, but set free after being pardoned by his family.
More than 500 men and women died in honour killings last year, the Human Rights Commission of Pakistan says.
Many of these crimes, committed by relatives who say their mostly female victims have brought shame on the family, are never prosecuted.
Police named the suspect as Muhammad Asif.
He has been on the run since Tuesday night, after murdering his sisters, Fozia Bibi, 22, and Suriya Bibi, 24, in the eastern province of Punjab.
“Muhammad Asif killed his two sisters last night, over their character and lifestyle, which he didn’t like,” police officer, Tariq Mehmood, told Reuters.
“Fozia was shot in her chest and Suriya was shot in her waist.”
Police said neighbours and relatives had told them the deaths were honour killings, over Asif’s suspicions that his sisters were having affairs.
On Monday, a father in the eastern city of Lahore shot dead his 18-year-old daughter, because she could not account for where she had been for about five hours.
Pakistani filmmaker, Sharmeen Obaid-Chinoy, won an Oscar on Sunday for a documentary about honour killings, prompting activists to call for changes in laws to punish those who kill women deemed to have disgraced their families.
A Girl in the River: The Price of Forgiveness — a film telling the story of a rare survivor of such murders — won the Academy Award for best documentary.
Obaid-Chinoy met prime minister, Nawaz Sharif, recently, turning a global spotlight on honour killings in the conservative Muslim nation.
Pakistani law allows criminal cases against those charged with a killing to be dropped, if the families of their victims forgive them, or accept ‘blood money’ instead.
Changing the law to remove the possibility of “forgiveness” could help cut the number of honour killings in Pakistan.
Domestic abuse, economic discrimination, honour killings, and acid attacks make Pakistan the world’s third most dangerous country for women, a 2011 Thomson Reuters Foundation poll showed.