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 her. Hence, her relative inexperience compared to her notoriety.