Romio actually is the older sister of Sasami and wasn't lying

Or half-sister, anyway. Due to the ambiguity of Ginji's age and the fact that he has casually done a lot of things that would require quite a bit of time, it's possible that he has had previous spouses and Romio was the result of one of them. It stands to reason that Romio was just simply lying about the circumstances of their relationship because Sasami would never believe that her father has ever loved anybody else in his life.

Misao is almost killed by Light Yagami.

Light has find out that Misao is Pixy Misa at the end of episode 19. Because of that, he has thoughts about killing her, but tries not to do it because if he kills her, then Sammy would find out that Light is Kira since both of them have strong sense of justice only Kira's is different and it's murder. When Light sees Misao trying to transform into Misa, he tries to kill her. However, just as he is about to put Amano in his Death Note, he sees her saying that it is for helping Sammy. Because of that, Light has decided not to have her killed.

Lelouch is responsible for turning Pixy Misa into a Dark Magical Girl.

After Misao transforms into Misa by Ramia, she is shocked on what she has become. Just then, Lelouch arrives and uses his Geass on her, turning into a dark magical girl that would defeat Sammy. With this, when every time Misao turns into Misa, the Geass would immediately activate on her. When Sammy and Misao destroy Ramia's magic in the latter's mind in episode 20, it also destroyed Lelouch's Geass control over her. This would explain of Misao gets control of herself as Misa in episode 24.

Sammy knew that Misao is Misa earlier.

From the second episode, she has found Misao in the waters with no memory of what she did as Misa. However, based on that explanation, Sammy has learned that she is Misa, and shows herself of being Sasami to Misao.

Once that is done, Sasami reveals to Misao that both of them become rivals as magical girls. As a result, the latter is saddened by the fact of hurting her best friend, but the former reassures her that they will get themselves out of this mess.

Since then, Sammy and Misa pretend to fight each other with the results of the latter letting the former win the test. On the top of that, the revelation in episode 19 is just an act so that Washu, Tsunami, and Ramia won't be suspicious of them.