Diego's never had siblings, and, honestly, I want at least one. xD
Diego's real name is Marcus Aurius Diego; he is the son of Marcus Aurius Adranos, a legitimate-Roman-guy from actual-Rome, and a Hispanic woman from Rukongai. Adranos actually founded the Crimson Butterflies, and Diego took it over when Adranos decided he wanted to do something else, and honestly, Diego's never really been a terribly confident sort of person, so he could use a sibling or two, to help him make the right decisions and remind him that he is actually fairly smart.
They can also be in the Butterflies, if you'd like, or doing something else, doesn't matter. Older or younger also doesn't matter to me, and they can be any gender, Di's pretty open-minded a guy.