So Midgardsormr says he sired seven children, and later Lucia mentions that there are two Great Wyrms in Eorzea, so I guess my speculation is this:

Only one of his children stayed in Eorzea. The other six spread throughout the world, to parts unknown. What if one went to a continent to the south of Eorzea and started a brood of dragons there? Midgardsormr, called the Father of Dragons, may have fathered the first of the dragons, or the "First Brood." Coupled with Bahamut being said to be of the first brood, I wonder if he's (Bahamut) one of the seven children of Midgardsormr.

Thoughts?