Lilith

Lilith was the youngest and only sister of the seven brothers, who died years ago before the events of the story. Lilith has never been seen in-game.

Background
Born as an angel in the Celestial Realm, she was beloved by all her brothers but shared a special bond with Belphegor as well as Beelzebub, often described as the three puppies. Because of Belphegor's interest in humans, she developed an interest in them as well.

It was there that she fell in love with a human man, but kept the fact she was an angel a secret from him. Despite her efforts to keep her relationship a secret, Lucifer caught wind of the matter and went to the human world to see the man. To Lucifer, he appeared to be a good and virtuous man who made Lilith happy. However, her lover was struck with an incurable illness and she sought food from the Celestial Realm to heal him, which was strictly forbidden, for angels could not alter a human's lifespan. Because of that she received the ultimate punishment, to be obliterated, which caused the Great Celestial War. She was gravely wounded and believed to have died in the battle.

However, she survived long enough to enter the Devildom, but not for very long. Diavolo told Lucifer he would save her if he pledged his loyalty to him. Diavolo then had Lilith reincarnated as a human and she lived a happy and fulfilling life without any memories of her former life. Lucifer did not tell his brothers about her due to the condition that they were not to contact her, and felt he alone should carry the burden.

After Lilith died, she regained her memories of her brothers and her life in the Celestial Realm, as well as her powers but were unable to use them. Worried about her brothers, especially Belphegor, she watched over them continuously and forgot how to get back to the Celestial Realm. There she searched for her descendant who could help them. It is revealed that MC is her distant descendant.

Trivia

 * Lilith was named after the succubus who was Adam's first wife, but became a demon after refusing to submit to him.
 * Lucifer had a sarcophagus of her in the Mausoleum holding a grimoire.
 * Lilith is said to have a "weird" personality, which Belphegor sees in MC as well.
 * Other than Belphegor, it's mostly unknown what her relationship was like with her other brothers.
 * They do however see her in a positive light since they were overjoyed at knowing she lived on as a human.
 * When Lilith was reincarnated as a human, she no longer shared the relation with her former brothers as she was reborn a human. With MC being her descendant, MC is not related to the brothers, by blood or otherwise.
 * It's also important to note that none of the brothers are related by blood to begin with, as they were all created, not born (in a human sense).

From Devilgram stories

 * In Hatred, Satan says that she was cute but troublesome to him.
 * In Hide and Seek, Belphie remembers that she was getting scared easily; it's mentioned too, that once she got angry, it was hard to snap her out of it.