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His father, William Knox, was comfortably off, possibly a merchant, but not an armiger, let alone a descendant of the nobility. He could afford to send his son(s) to a good school, but that was the extent of it.
His mother's birth name *may* have been Sinclair, but there is no primary documentation for this.
Men-at-arms and common grunts fought and died at Flodden alongside royals and nobles, so that bit of "family tradition" doesn't mean a lot.
He may not have been related or descended from royalty, but his children (the three daughters of his second wife), supposedly, were. Distantly, but were.
"On 26 March 1564 Knox stirred controversy again, when he married Margaret Stewart, the daughter of an old friend, Andrew Stewart, a member of the Stuart family and a distant relative of the queen, Mary Stuart. The marriage was unusual because he was a widower of fifty, while the bride was only seventeen.] Very few details are known of their domestic life. They had three daughters, Martha, Margaret, and Elizabeth."