Why wouldn't they have been mentioned, though? There have been 5 seasons with Davos in them, 2 of them while he was in the North, as far away from his family as he could get. If he hasn't even offhandedly mentioned his youngest sons then they don't exist as far as the show is concerned.
Remember, the show is willing to remove the existence of Victarion Greyjoy, Lady Stoneheart, Aegon VI, Quentyn and Arianne Martell, Willas and Garlan Tyrell, Harold 'The heir', and dozens of minor characters. There is no reason to believe Davos has any sons left because the show hasn't spent even one second mentioning them. At this point any mention would only confuse viewers and make Davos seem like a terrible father who hasn't cared about his youngest sons in years.