I don't think they can interbreed. The aphids on the milkweed are called Oleander Aphids, and they can ingest the toxins in the milkweed, whereas the local aphids cannot. When they mature, they too will turn brown/blackish and be able to fly. I've read that they originated from the mediteranean (spelling?) and that the ones we have in North America are all female, so when they reproduce they are just cloning themselves rather than mating.
At least that is what I have read. The Oleander Aphids usually find new sources of milkweed before other insects that rely on milkweed do, that's just my observation. So they are a pretty good indicator that a plant is in the Asclepias family. I'm not so sure about Hemp DogBane though, the Oleander Aphids seem to ignore it. Anyways, I'm no expert, I've just read some and observed them.