Nacho,
This is a very crazy story, and as you said its your sister. Also its your niece, so you are 100% connected to this.
1. You, I would devote some substantial amount of my own resources on this. Maybe up to 5k? I mean the damage this guy could do to your entire family is incalculable. There has to be experts in this that you hire. I mean hell buy the guy a damn beer then steal the glass afterword right? This might have been hard to track down 25 years ago, but I bet you could go easily get enough info on him. Pretty sure you can pay those services to tell you where a licence plate has been nationwide now that so many tow trucks have readers. He might not have a car, but in 2020 there is surveillance like never before. Best case you find out most of his story is true. Well worst case, see point #2.
2. Your niece, so I hate to say this, but I would be very concerned about her. I just had some absolutely horrible stuff happen way to close to home. It has really changed my outlook on this, and him moving in with a minor is a huge warning light. Maybe take her out to lunch sometime to talk. Would that be out of the ordinary for you? I would not want to make your sister angry. I would not really ask questions, but likely just listen. Also having a room for her and a number she can call 24/7 is a huge one. Gawd I hate to say this, but you need to look for the signs. I was going to post some links but, hell I dont even want to type into my own web browser! Signs of sexual abuse, grooming etc etc. Its super horrible and gross your sister can look after herself, your niece likely cannot.
3. Your parents, I would try my best to monitor/protect their credit and interests the best I could, this might be difficult. But again with all 5? of them living together crimes of opportunity abound.
4. I would like to think that this will work itself out naturally. Likely your sister has some suspicions already but is trying to look past them. If he is lying then they will eventually add up and she will start to question him. He will not have answers, the relationship will end. The question is how long will this take, and what have you done to protect your family
Good luck nacho. The worst thing that happens if you get involved is you are wrong and you look like a bit of an ass, but your heart was in the right place and you were trying to protect your family.