That is actually wrong. The final zone for ShB, The Tempest, has the Ondo (the First's version of the Sahagin), and there is even a friendly tribe of them there (occupying what is insinuated to be part of the
ruins of the real Amaurot
).
The general belief and 'proof' that the final zone for EW will be the Moon however is based on how EW seems to be referencing FFIV a lot, and the moon is not only FFIV's final zone/dungeon, it's also where the rabbit-like Hummingway tribe was located, so that is a good a choice as any. Nothing is known for certain at the moment though.