Do you remember, Anobi, when you theorized about how Alice could be Nero's mother?
Well, there is another female who crossed her path with Vergil and that had the right age to be Nero's mother: Lady.
There are a great possibility Nero wasn't made by love, but only because Vergil wanted to simulate his late father in everything, even in producing a heir.
I imagine Arkham would be very proud his daughter was used to produce a Sparda's heir, since he wanted to have part of that power for himself, so having a powerful grandson is a plausible possibility and Nero is part human, as his mother was a human.
Lady meets Vergil a year before DMC3 and it was her that in DMC4 expalined Fortuna's story and it's people's beliefs.
Do you find it too far- fetched?