Arctica's 7 knights are called the Fenril Knights. In Alter Code F, it is revealed that, during the original demon invasion, The Dragon to Mother was a demon named Fenril, who was killed by the original 7 Arctican Knights. They literally kicked his ass and took his name!
Rudy has blue hair. Who else has Anime-colored hair? The demons. Rudy is an android that is based on demon biology.
"Calamity Jane" is a dual name for both the Jane we see and her sister, who is a lot more experienced than she is. Hence, her relative inexperience compared to her notoriety.