As far as I know, no they don't. And I know their salsilah (family tree) quite well. They do claim to be descended from the Pasai ruling family in North Sumatra, which was the first place in southeast Asia to convert to Islam. It's possible that a Muslim missionary in Pasai was (or claimed to be) descended from the Mughals and that he is the source, if there is one.
But I am probably stretching the tolerance of the moderators, since this is the European RMN!
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