If you read the enemy descriptions of those with nelo in thier names, it says that Agnus took The remains of Nelo Angelo and used them to create his demons. which would also explain how they got yamato, since nelo is vergil they obviously got it when they found Nelos remains. as for how he died, I believe it was actually dante who killed him in the first game, which was after he was enslaved by Mundus.
