If I remember correctly, Yoshi-P answered this in an interview. He explicitly stated that the Au Ra were not related to dragons, but were often shunned by superstitious Ishgardians who were under the mistaken belief that they were (as per their appearance). He also said that they were modeled after a "demon motif;" however, I don't think he elaborated on that to explain any specific lore about their origins. Just because they were modeled after demons does not mean that they are demons, per se. They could be, but they also could just as easily not be. The only thing we know about them with certainty is that they are of an eastern descent, and that they have a different faith system than most of Eorzea (something about a Dawn Mother and Dusk Father ... or Dusk Mother and Dawn Father... One or the other).