Maybe it isn't as complicated as posted above.

Since we know that Azem has friends and followers based on the all the ancient history of the cultures on the source, it stands to reason that the soul of Zenos could just be one of those followers--giving them the connection.

Also SE is drawing pretty heavily on FFIV lore for this coming expansion so Zenos might be connected by being Azem's brother and rival like Golbez was to Cecil.