Rey is the granddaughter of Emperor Palpatine. She is not biologically related to Anakin Skywalker.
Rey is Anakin's half sister, and Palpatines relations to Rey through the force. Rey is a genetic experiment/force experiment of immaculate conception orchestrated by palpatine. So Rey is Palpatines daughter or grand daughter, in a metaphorical sense. The same way Anakin is Palpatines son through the force.
Anakin was actually the result of immaculate conception, so he doesn't have a father. His mother, Shmi Skywalker, conceived her child without a male partner, and instead Anakin was created through the Force. Yes, that's right, Anakin Skywalker is basically Jesus Christ.
From Star Wars: The Force Awakens' opening day, fans had their theories, and Star Wars: The Last Jedi seemed to squash all of them only for Star Wars: The Rise of Skywalker to provide a surprising answer: Rey is Emperor Palpatine's granddaughter, and her father a genetic strandcast (not quite a clone) of the Sith lord.
Following Palpatine's final defeat and her own resurrection, Rey adopts the name Rey Skywalker to honor her mentors and their family legacy and renounce her lineage. As the last remaining Jedi, she makes it her mission to rebuild the Jedi Order.
Born in 15 ABY on the planet Hyperkarn, Rey was the daughter of a young man and woman, whose names were lost to history. Her father, Dathan, was the cloned "son," a bioengineered strandcast, of the Sith Lord Darth Sidious, making her the granddaughter of the fallen Galactic Emperor and Dark Lord of the Sith.
In the original Star Wars: Episode VI – Return of the Jedi screenplay, Obi-Wan did have a brother, and it was none other than Owen Lars (Joel Edgerton)—Luke Skywalker's step-uncle and Anakin's step-brother.
Alderaan's princess knew she had been adopted by Bail and Breha Organa after the Clone Wars, but she had no idea who her parents were. That was until Luke Skywalker told her the truth - that he was the son of Darth Vader, and that she was his sister.
Move aside, Anakin Skywalker. Master Yoda has risen above all others to claim the top spot as the most powerful Jedi of all time and the true chosen one according to IGN's audience. He won pretty handily as well, as he was victorious in 89,756 of his 95,243 battles and had a win percentage of 94.2%.
She does not have a baby bump, her hand never goes to her stomach to indicate she's carrying a child, and there wasn't exactly any time for her to have conceived a child with anyone in the course of the film, including Kylo Ren/Ben Solo.
While on the planet, when someone asked her who she was, Rey responded by saying that she was "Rey Skywalker." Although she wasn't related to them, both Luke and Leia had been mentors to Rey throughout the sequel trilogy.
Rey's father was the cloned son, artificial genetic strandcast, of the resurrected Darth Sidious, making her the granddaughter of the fallen Galactic Emperor and Dark Lord of the Sith.
What is the connection between Kylo Ren and Rey? As Kylo Ren himself says in The Rise of Skywalker, he and Rey are bonded not just by their familial legacies (Ren as the grandson of Darth Vader and Rey as the granddaughter of Emperor Palpatine) but by their unique connection in the Force.
And in The Rise of Skywalker we finally learn that Rey is actually the granddaughter of Palpatine. Her parents—one of which is the child of Palpatine—abandoned her on Jakku to keep her safe from her grandfather who was aware of her power.
The Last Jedi took the stance that Rey's parents were nobody, and while this may have been true from a certain point of view, The Rise of Skywalker gave us the true answer to Rey's parentage. In the film, we learned that Rey was a Palpatine, and her father was a clone of the infamous Sith Lord.
During the iconic opening moments of Star Wars: A New Hope, Darth Vader has a tense confrontation with Princess Leia, an adversary who, unknown to him, is actually his daughter. Despite participating in Leia's interrogation, the Sith Lord doesn't uncover his familial connection with the rebellious royal.
In Star Wars 4, A New Hope, why did Vader not realize Princess Leia was his daughter? Because she had not yet had the Force awakened in herself. The way he would have been able to sense her, it is by her Force Presence, but because she had yet to awaken the Force in herself, she had no Force Presence.
Darth Vader didn't learn he had a daughter until Return of the Jedi, when he stood before Emperor Palpatine. The Emperor's power probed Luke's mind, attempting to goad him to fall to the dark side, and he discovered Leia's existence. "Sister," the Emperor taunted. "So... you have a twin sister.
Early life. A Force-sensitive human female, Reva Sevander was once a Jedi who lived at the Jedi Temple on Coruscant as a youngling. During her time at the temple, she was trained by Grand Master Yoda.
The theory is that Satine's nephew Korkie Kryze, who bears a striking resemblance to Obi-Wan, is actually Satine and Obi-Wan's son. This has never been confirmed, so it seems likely to be only mere speculation, but there's no definitive proof that Obi-Wan didn't have a child with Satine.
In 'Star Wars,' Rey Was Originally Meant to be a Kenobi
In an interview on Jimmy Kimmel Live, Daisy Ridley revealed that a connection between Rey and Obi-Wan was one of the initial ideas around her character's creation. When asked if she was aware of Rey's connection to Palpatine, Ridley noted that, "No.
To Snoke, Rey was just a powerful Jedi to eliminate (more on this below). It wasn't until after the events of The Last Jedi that Palpatine recognized that Rey was his lost grandchild that he needed, and leveraged Kylo's inability to kill her by telling him to do just that - “Kill the girl”.
A crystal embodies the Jedi as the heart of the lightsaber, and pure kyber has no color until it's bonded to the Force user. This process likely resulted in Rey Skywalker's lightsaber being yellow.
By the end of The Rise of Skywalker, Rey had become the last known Jedi of the Skywalker Saga. With all that being said, Rey was not left as the last remaining Force-sensitive character.