Is there any evidence that Gandalf's maia origin was known to Sauron. Not many of the elves even knew (Cirdan, Galadriel and Elrond maybe)
This quote makes me think not.
'So!' said the Messenger. 'Then thou art the spokesman, old greybeard? Have we not heard of thee at whiles, and of thy wanderings, ever hatching plots and mischief at a safe distance? But this time thou hast stuck out thy nose too far, Master Gandalf; and thou shalt see what comes to him who sets his foolish webs before the feet of Sauron the Great. I have tokens that I was bidden to show to thee - to thee in especial, if thou shouldst dare to come.'
The Return of the King: The Black Gate Opens
Is there any evidence to show Sauron knew more? I'd like to think he would have changed his plans if he had known the truth.
Answer
If he thought about the Istari, especially Saruman and Gandalf, he imagined them as emissaries from the Valar, seeking to establish their lost power again and 'colonize' Middle-earth, as a mere effort of defeated imperialists (without knowledge or sanction of Eru). His cynicism, which (sincerely) regarded the motives of Manwe as precisely the same as his own, seemed fully justified in Saruman. Gandalf he did not understand. But certainly he had already become evil, and therefore stupid, enough to imagine that his different behaviour was due simply to weaker intelligence and lack of firm masterful purpose. He was only a rather cleverer Radagast - cleverer, because it is more profitable (more productive of power) to become absorbed in the study of people than of animals.
Myths Transformed; HoME 10
This paragraph from Tolkien seems to more or less say he knew the Istari were of Maia stock. From a personal point of view as well it would not be too hard for Sauron to guess they were at least Ainur, they were certainly not dwarves or men for the istari were immortal and aged ridiculously slowly, if i remember rightly some thought they might be elves but Sauron knows enough about elves to realise the Istari are not elves. The only logical option for Sauron to think they are is a Vala (Sauron thinks the Valar have basically given up on Middle-earth) or a Maia, aka an emissary of the Valar.
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