Allez and Eleni have been friends since childhood, back when Eleni’s name was still Crescent Rose. Eleni obviously has a crush on her- makes sense, she’s basically her unofficial bodyguard- and Allez knows this and just loves to tease Eleni about it.
 
However, Allez doesn’t quite know the extent. Eleni isn’t just crushing on her, she’s full on fallen in love with her.  
She’ll figure it out one day.
 
Also, no these two are NOT related. Depending on what you consider Blueblood and Celestia’s relationship would be, these two would still be- at the most- step-cousins. But that happened way after they met.