User blog comment:Jopjopjop/Volume 19 Spoilers/@comment-104.7.80.176-20150312123401/@comment-16281343-20150312123900

No. Issei's parents have no idea.

List:
 * Aika Kiryuu
 * Kiyome Abe

There are others that might know their existence but it still isn't acknowledge that they do know that the gremory group and the others are Devils. That includes Tadami Kamo and Nakiri Ouryuu. Probably Milaca Voldenbergh too.