Spoilers for the story (up to what I've posted) are absolutely fine. Though, if they're too spoilerish, we may need to spoiler-cut them for the sake of not injuring brains.
Chapter 5 - Somewhere to BeginThe Nessiah-Yggdra connection is conjecture on my point, but it's hinted at broadly in the game. There are too many similarities between their characters--from the way they look down to their actual class parameters (6-5-6-3)--that make me pretty sure I'm right.
As for "that person", I don't think we'll ever mention him by name. At least Nessiah won't; depending on what's going on in Asgard he may get brought up. I'm dropping obvious hints to Paltina very deliberately, though.
And yes, I had lots of fun writing the Nessiah and Kylier scenes. If only because she's the only one with the balls to tease him about his sex life or lack thereof, but it's also fun to make them that intimate and yet completely platonic. :>