Look, Steve has no idea between the two turtle species, and absolutely thought that the two of them were blood brothers, not just soldier brothers... After all, the serum had turned Steve into a ray of sunshine and Red Skull into ... a red skull.

Not that they were related, but he just assumes that it comes out differently with everyone, thus accounting for how different Leo and Donnie look.

"Well, let's go see what Donnie's up to."