Isn't it possible that "Fenrir" are just a race of monster? After all there are more Behemoths than the one in Courthas and more Chimera than the one in Cutter's Cry so it doesn't seem unlikely that there is more than one Fenrir like wolf, the gold saucer proves that much, but the real question is whether Fenrir is it's Species name ala Chimera/Behemoth or if it's a the specific name of that particular wolf like Savara is a specific dragon in the Dravanian Horde.

In any aspect, I'd wager that Fenrir and it's kin are from Dravania being as that's the only one that's ever been seen in Eorzia.