Oh yeah, there's many a mystery. One has to wonder if Black Widow will become involved.
Oddly enough the bit about getting DNA evidence to link her to Pym while understandable makes me wonder if it'll be revealed that her entire story is a lie. As that line had me stop to realize that there's not been any real way to corroborate who she says she is so far. I don't think SHE'S lying but simply in belief of who her parents are. It'd certainly be a kick to the nuts if it's revealed she isn't even related to Hank or his former wife (Maria?).
Would be amusing to see if she's simply an experiment of the Red Room, not about stealth and espionage now but super science...