Nya and Kai's parents were secretly Hephaestus and Esperanza Valdez.

Nya and Kai are the younger siblings. When Nya was born, that was when Zeus forced Hephaestus back to Olympus, Hephaestus knew Kai and Nya would eventually get seperated from their older brother, so before he left, he gave Kai the fire gift so he could protect himself and Nya. When Leo and Kai started the fire, Leo went from foster home to foster home, while Kai and Nya were adopted by a blacksmith.

Years later Hephaestus went to Wu and told him of Kai and Nya, he asked of one thing, for Wu to keep them safe.

(Thank you HowlettTwins !)