Only what happens to her father but in Hailey's Adventure 2. Her mother and grandfather are still alive but will not be shown in any of the games. That devil was suppose to be a gargoyle but will be replaced with a kappa.
No Annie is not her real sister. She was the reason her mother left because she thought her husband slept with someone and Annie was result of it. At his point in story Hailey doesn't know it.