There are, in a sense, two Mystara cosmologies.
The original classic D&D cosmology (BECMI) that had demons but no devils, one angelic archon (rather than a whole bunch), but not much else in the way of outsiders.
I forget which year, but Mystara was given the AD&D 2nd Ed treatment, and as such was "graduated" into the AD&D cosmology with demons, devils, the Great Wheel and all that. So in AD&D material, both Planescape and Mystara, you'll find references to demons (as Tanar'ri), devils (as Baatezu) and more.
The AD&D references were far from exhausting and didn't mesh perfectly with what came before.
So when somebody says there are no devils in Mystara, or there are devils and demons but they are not known as Tanar'ri and Baatezu . . . . they are both right and wrong, depending on which version of the setting they are more familiar with.
If you are looking for the definitive canon answer, you'd have to go with the latest products published, which were the AD&D products. So, yes, the Tanar'ri and Baatezu exist in Mystara, and Mystara is a part of the Great Wheel cosmology and all that entails.
But if you are running your own campaign . . . . just go with whatever you like best!