Okay, confirmed facts about Nero;
Nero is part of the Sparda bloodline via descent. He's not immediate like Dante and Vergil, but he is in there. This is confirmed four times by Sanctus, and Dante treats him like family, as if he's learned something about the kid. Not like he's a brother, but like a distant cousin.
Nero carries a power DIFFERENT from the demonically imbued Knights. Dante confirms this in their first fight. Sorry Vergil connection fans, but that is ruling out that the arm is Vergil or something based on him, since the Order Knights were imbued with fragments of power from "the Dark Angel". That means the KNIGHTS are carrying pieces of Vergil's power, but Nero is NOT.
Nero is powerful enough to restore Yamato, something Agnus, in all his years of research, could not do. Additionally, the Yamato, when physically in Nero's hands, glows Purple, not blue. This strongly suggests that his own demon power is akin to Sparda's, not one of the sons. Oh, and when he's channeling a lot of power through the Bringer, it does flare purple light out, not the normal blue or red.
Nero is 19-20, with Kyrie generally agreed to be slightly older. This puts his birth(and hers) around the time that Eva was murdered, and possibly around when Sparda died. I like to think this holds significance in relation to Nero's origins, but that's me, so I include it in the list of "NERO FACTS!".
So these are the confirmed facts about Nero.