My Wrath run has also run into another interesting question. One of my players, a war priest of Iomedae, picked the mythic background that made him a child of a deity, preferably the one he followed. Cool. Except that he's a tiefling. We've been going through the list, trying to see who his other parent could possibly be.
There is nothing preventing a deity from having a relationship with a "normal" tiefling. The character doesn't have to have an actual fiend for the other parent.
Also, tieflings can be born from two humans (or dwarves, or elves, etc.) that were exposed to fiendish energies (or whose ancestors were), making direct descent a non-requirement in the first place. There are also mentions of the "taint" skipping generations in certain families.
In other words, don't feel obligated to make such a drastic (and canon-warping) step.
I think he's saying the character has a mortal and Nocticula as a parent. Because of the tiefling heritage they ditched the recommendation it be the patron god.
I went with Iomadae is his mother. Nocticula says she is his other parent. (Eh, she lies a lot, no reason she can't say that). I'm operating under the assumption that he's just a tiefling as a side effect of living near the Worldwound, but him thinking he has a demon lord parent is amusing to me and I wanna see where he goes with it.