The legend that I tend to believe the best is that they actually fled to Northern India, where the religious climate at the time was most accepting.
If they find a Jesus tomb there, I'll start getting interested.

But the idea of cloning Jesus... oh my goodness... you heretic! Besides, it would only be DNA... you don't know... growing up in the 21st c. the poor clone could turn out to be quite OTHER than what one would hope for...