Macau and Hong Kong get along very well, for both of them being business and cultural neighbors, they have a lot in common. When Macau was living in Portugal's house, he calmly handed the role of Asia's centralised trading port to Hong Kong and restfully watched the latter to have a spurt growth. He handled the situation by not spewing rivalry and sought his own connections in Europe.
In the current timeline, they joke together on various occasions, sometimes involving China.
In Macau's character note, he is addressed as an 'older brother', it's unclear if this is a familiarity or a true title.
It must be taken into account that he sees Hong Kong as a younger brother, which leads to the two to might be related. Since they both are under China, there's a posibility the three of them are related.
The true status of their relationship may be incestuous but there is no canonical proof until now.