There’s also dialogue from Lilian directly when you talk to her after completing the quest with Rexxar.
Lilian, I heard you helped Zelling’s family get a home in Drustvar.
Keep it down. Of course I made sure his family was taken care of. Do I look like a monster?
On second thought, don’t answer that.
I gave Zelling my word that his family would remain safe. I intend to keep my promise, even if I have to do it from the shadows.
And then again after Zelling’s execution:
Thomas Zelling has… had… a family in life. He made me promise to keep them safe, even after they called him a monster and shunned him for being undead. It is a promise I will continue to keep.
If they ever ask how he met his fate, I will tell them that he died a hero. We Forsaken are raised with free will. That’s what separates us from the Scourge. Sylvanas Windrunner used to take pride in that distinction.
So, yes, I’m pretty confident Zelling’s family is fine.