Knox is one more person that shares an Ishval-related bond with Roy. He's a doctor in the Amestris Army, and seems to have done a whole lot of autopsies while on war. According to him, he's more of an accomplice to Roy, rather than a war buddy -- who knows what was Roy's true duty in that so-called "human experiment".

     

It's curious that Roy would trust Knox to overlook Maria Ross' "autopsy" when it's been almost 5 years since the war ended, and thus their working relationship. Someway, Roy judged that Knox, despite his laid-back appearance, would be someone he could ask help from. Fortunately, it looks like he was right.

Roy: We have someone who is severely injured. We are in need of a doctor.
Knox: Use some other doctor.
Roy: It would be troublesome to have our identities revealed, so we can't.
Knox: Another risky bridge. You damn brat.
Roy: I'm glad we've gotten to the point, "accomplice"... is what I'd like to say. But I recall that you have a family. If you say it's too bothersome you can decline.
Knox: I'll go get my tools, so wait for me.
Roy: It's all right?
Knox: I don't care. I split up with my wife immediately after I returned from Ishval.

I don't know how far would Knox's loyalty for Roy go, but at least he accepted to go with Roy and gave medical assistance to Lan Fan, that's more than most of the people would've done. And please note how this is the nth time that Roy has made sure the person he's talking to knows it's up to him/her to help him or not. It was Knox's choice to follow Roy at that moment and he did. Also, he may be one of the few allies Roy has that the Fuhrer is still unaware of. Don't know for how much longer, though.