I was just about to say pretty much what Schmacky ^ just said. I agree that they’re half sisters, and Cora is the product of an affair.
Eva’s father could have had a thing with a maid in the castle, (which, come on, happened all the time,) which would add a lot of weight to the line about knowing what it’s like to “be the miller’s daughter”, if Cora knew that her real father was the king. I’m definitely placing my bets on it, and maybe even that they grew up together, Cora as like her handmaid or childhood companion. (In the clocktower, she snapped at Johanna, calling her a handmaid, and putting quite a bit of bitterness behind that word.)
And for the record, I called this ages ago! Haha 🙂