Then the two men said to Lot, “Whom else have you here? A son-in-law, and your sons, and your daughters, and whomever you have in the city, bring them out of the place; for we are about to destroy this place, because their outcry has become so great before the LORD that the LORD has sent us to destroy it.” Lot went out and spoke to his sons-in-law, who were to marry his daughters, and said, “Up, get out of this place, for the LORD will destroy the city.” But he appeared to his sons-in-law to be jesting. [Genesis 19:12-14]
The above took place before the city of Sodom was destroyed. When the 2 angels told Lot of the pending destruction, Lot believed. When Lot relayed the message to his sons-in-law, they did not believe. As we know, the bible went on to record that Lot, his wife, and 2 daughters escaped from the city with the angels holding their hands, so I guess that implied the sons-in-law perished with Sodom.
It is a really a sad case for Lot’s sons-in-law. Unlike the rest of Sodom, they were told of the pending destruction, and had a chance to flee. But they thought the messenger was joking. I think they regretted that when Sodom was destroyed.