She was adopted into the family, because Mikado was madly in love with her. They had Maria, but couldn't tell anyone (the image Hayate saw of her with a straw hat at Athena's place, looks like she was well off and not a servant). After that Mikado set Yukariko with another man just for show and they had Nagi (actually adopted from a servant branch family of the Sanzen'in). It's so unlikely and absurd it might be true! Or at least half of it. Hehehe!
Oh and also, Klaus lied.
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