One way or another, we're going to see the mystery of who Rey really is dealt with in The Last Jedi. Given that we're always told that "Star Wars rhymes", it seems likely that her parentage is going to follow Vader's "no, I am your father" bit in The Empire Strikes Back, so there's probably no big shock there.
What would really make it shocking is if they choose to reveal one of the more left-field possibilities rather than simply having her revealed to be a Skywalker or a Kenobi. Her being Kylo Ren's twin would be a level up on being Luke's daughter, but having her revealed to be Snoke's offspring or related to Palpatine would be a step up again.
Then again, the reveal could simply be that she has no parents in a traditional sense. She could be Anakin's clone - or equally, Luke's - which would shake things up somewhat.
Would It Be Shocking Enough?
Unless they really pull something odd out of the bag, this will be entertaining and good to see, but it probably won't be bigger than the "I am your father" or "dude, you kissed your sister" twists.