I don't mean to be rude, but the "brothers" are not related by blood, they are brothers in the same way warriors/soldiers consider themselves family, as in "band of brothers", the only true relatives are Satan and Lucifer, since Satan was born of Lucifer's wrath and never actually an angel himself as the others were. They act as family because when they arrived in the Devildom they had no one but each other to lean on and grew that much closer from it.