Dragon King's theory was the first thing I thought about, but Nero being found as a kid...etc, it suggests his origin is unknown, that's usually called a plot device, not something random.
Agnus never made any experiment on Nero, he didn't even know he had demonic power, Credo might have known Nero had demonic power, but Sanctus definitely knew he had the blood of Sparda.
Vergil's isn't asexual, we've never seen anything he does in his personal life, we can never tell whether he likes girls or boys, whether he has sex or not, but since its unknown, & Nero has Sparda's blood, & its been hinted to death in DMC4, its the closest thing we could go with Nero's origin, I really can't think of any other theory that makes sense. the other theory that makes sense is only the arm being Vergil's, but I don't think Nero being found as a kid means nothing, those plot devices usually tell that this kid's origin is important.
other than that, I don't think Nero being Dante or Sparda's son makes any sense, & since every possible theory has been talked to death, I haven't read any other theory that doesn't create any plot hole.