I do like the idea of Nero being Sparda's 3rd son - perhaps when Sparda went to rule over Forturna, he took baby Nero with him; Eva's back in some other part of the world taking care of the twins.
Also like the thought of the possibility of premature awakening of Nero's arm - when his arm changes prior to the events in DMC4, he must be pretty young then. Maybe this is what happens when half-breed tries to trigger their devil blood too soon --> incomplete devil trigger??
What's weird about the "3rd son theory" though :
1) why no sword from Sparda to this 3rd son? Rebellion to Dante, Yamato to Vergil, and nothing to the last son? Maybe he died too abruptly? who knows.
2) His clothings, "use of language", and moves resembles Vergil and Dante - almost like a merged version of the twins. If he's a 3rd son, I think the producer would have use a more distinct color. Sparda was purple --> blue + red. Also, Nero's DT form is resembling too much of Vergil/Nelo Angelo - if he's a 3rd son, he'd have something unique to himself don't you think?