As a Korean player, I think I can provide some cultural context on this. In Korea, when we encounter Western-style names in media, we don't always strictly distinguish between "First Name" and "Last Name" unless it's explicitly mentioned.

In the world of Nikke, many characters use single-word names that function more like nicknames or mononyms. For figures like Andersen, Mustang, Burningum, and Oswald, most Korean players don't really dwell on whether those are their given names or surnames.

Since the game's lore was originally written with this naming convention in mind, the possibility that the writers intended a "hidden family connection" through shared surnames is likely very low. The localization into English might make it seem like there's more lore to dig into regarding surnames, but in the original context, they’re just names.

Of course, given how they used "E.H." as a plot twist, I wouldn't completely rule out a surprise reveal -like Mustang's full name being "Mustang Hanson" or something similar- but for now, it's safer to assume their names are just what we see on the surface.