The Fek'lhri were a race of demons within Klingon beliefs. (Decipher RPG module: Aliens) During the time of Kahless the Unforgettable, the legendary warrior forged the first Bat'leth which he used to conquer the Fek'lhri. (DS9 episode: "The Sword of Kahless") In a report by Quen to Chancellor Martok, the member of Klingon intelligence stated that Nero should not have defeated the Empire's best ships, even if working with the Fek'lhri. (ST website: Ships of the Line) Considering the name, its possible that there exists a relationship between them and the Fek'lhr but the nature of it is unknown.