How do Pelayo and Elisenda react to the fact that this man has mings? What do they think he is?

They really don't know what to think at first. The two try to explain his wings away, guessing that he must be shipwrecked sailor, before fetching a neighbor woman who "knows everything about life and death."

I don't think they ever really realize what he is. The neighbor lady tells them she thinks that he is an angel come to take their baby away but the couple treats him as a freak of nature more than anything else.