Board Thread:Questions and Answers/@comment-27176987-20170419211348/@comment-1458758-20170420010858

Okay, just for starters, that title is waaaay too long, could've shortened that and put the question in the box. Anyway, Lucifer, Amaimon and Mephisto are all aware of their relation to the Okumura twins.

Amaimon says he's sort of like Rin's big brother when they first meet in Mepphyland. Lucifer refers to Rin as his youngest brother I believe during the events of the Izumo arc, though he seems to treat Yukio rather differently, and Mephisto has shown rather consistant awareness of the fact.

As for the other way around, Yukio would almost certainly know as a fully trained exorcist, how he and his brother are technically related to the demon kings. Rin on the other hand, is probably vaguely aware of how they are related after what Amaimon said, though whether he's connected the dots on the demon kings all being related/the offspring of Satan, and himself, that's another thing entirely.