The RPers, they run amok!
Okay, I tend to go way too much into detail so I clearly missed the actual topic of the thread. Weird, I know, but I'm known to achieve the impossible.
The only thing we know about Nero's past is that he's an orphan.
It's never said when, how, or why he was orphaned (unless this is stated in the novels). And as DB said, Capcom is basically sucking these ideas out of thin air as they go along, so chances are they don't HAVE that information about Nero's background yet, so nothing we speculate/theorise will be right or wrong.
If it hadn't been for the tight (and oh so wrong) age squeeze between Nero and the twins, I honestly wouldn't have minded if Nero had been Vergil's son. But since we know the facts, and the ages just don't match up, I'm going with the theory that Nero is another son of Sparda. Maybe he's Dante's little half brother? I'm sorry, I just can't see a kid Nero's age calling Dante 'uncle'. Uncle Dante. *facepalm*