  We perform a sub-threshold follow-up search for continuous
nearly-monochromatic gravitational waves from the central compact objects
associated with the supernova remnants Vela Jr., Cassiopeia A, and SNR
G347.3$-$0.5. Across the three targets, we investigate the most promising ~
10,000 combinations of gravitational wave frequency and frequency derivative
values, based on the results from an Einstein@Home search of the LIGO O1
observing run data, dedicated to these objects. The selection threshold is set
so that a signal could be confirmed using the newly released O2 run LIGO data.
In order to achieve best sensitivity we perform two separate follow-up
searches, on two distinct stretches of the O2 data. Only one candidate survives
the first O2 follow-up investigation, associated with the central compact
object in SNR G347.3-0.5, but it is not conclusively confirmed. In order to
assess a possible astrophysical origin we use archival X-ray observations and
search for amplitude modulations of a pulsed signal at the putative rotation
frequency of the neutron star and its harmonics. This is the first extensive
electromagnetic follow-up of a continuous gravitational wave candidate
performed to date. No significant associated signal is identified. New X-ray
observations contemporaneous with the LIGO O3 run will enable a more sensitive
search for an electromagnetic counterpart. A focused gravitational wave search
in O3 data based on the parameters provided here should be easily able to shed
light on the nature of this outlier. Noise investigations on the LIGO
instruments could also reveal the presence of a coherent contamination.
