not only is it mentioned there, but when u borad the airshio the first time to look 4 Yuna, Cid says "There's no way im gunna send my lil neice to her death"
and if u weren't payin attention then, when u talk to Wakka, he says:
"errr, Cid called Yuna his "niece" right? So that would make Yuna an Al Bhed right? Dont say it..... Yuna is Yuna, right"
and with the common knowledge that cid is Rikku's dad, u should b able to piece it together.