Prepare to have your mind blown

[Rydin]

By the way...we just popped out of the air when the game started...where do you all think we really are from?

We are just dreams of the Fayth, and the Zanarkand we know isn't real at all.....

Quest spoiler below:
In one of the GC quests (Alive for Maelstrom), Cid implies that Dalamud is in fact a massive relic of the ancient civilization that predated ours (I cannot for the life of me remember what it was called). Whether or not that is actually true is yet to be seen, but there is definitely evidence that Dalamud is, in fact, "... not a moon... a space station".

It is of Allagan Origin...
It doesnt' specify whether it was a natural satellite that was altered or a completely artificial one though