In the way all Greek deities are, sure. Thanatos and Hypnos are the children of Nyx, who was born directly from Chaos - the oldest deity in existence within the game. Hades was born three generations after the Primordial Gods (Nyx). This would place Zagreus as the fourth generation, two generations after Thanatos and Hypnos, making them first cousins twice removed. So yes, they are related but so are all Greek deities.