One thing to take into account is how long ago the Allagan Empire was. Corthas only became majorly ice-aspected in the last five years. The Sea of Clouds (an area of that is majorly wind-aspected) is obviously older then that, but how much older? It could easily be the the case that the Sea of Clouds didn't exist yet at the time of the Allagans. It's very possible much of the Three Great Continents were very different in the Allagan Empire then they are today. Who knows how much the four Calamities since then have changed things. Although given by what we know of how much the 4th, 6th and 7th Umbral Calamity changed things, I'm going to bet that the 5th Calamity (an Ice Age) also changed things a lot.

One of the things that has always bothered me about Azys Lla is how close it is to Dravania and Sohm Al. We don't have any information about what state the Dravanian Horde was in at the time of the Allagans. Or if there was a Dravanian Horde back then for that matter. While Hrasevelgr, Nidhogg and Ratatosker seem like they could be old enough to been around at the time of the Allagans, none of Hrasevelgr's kids seem to be old enough. Form the way they act, the Dravanian conflict is the biggest problem they've ever had to tackle. So maybe Azys Lla was put where it was to also keep an eye on Sohm Al which the Dravanians (and maybe the Mercydians?) think is sacred? Or maybe Azys Lla wasn't only over Abalathia's Spine but was constantly moving around, and then with the 4th Umbral Calamity hit, that was where it stopped...

As far the Burn itself if concerned, whatever property the Allagans wanted it for could easily not exist anymore. It hasn't had aether in five thousand years so the region is probably nothing like it was back then. For all we know, the Allagans used the Burn not because of something special about it, but because of where the House of the Crooked Coin was. The bit of crystal we see there is just the tip of the iceberg. The crystal goes underground and who knows how huge it really is. I'm still wondering if it was something the Allagans specifically created to control the aetherflow of the Burn/sore up aetherial energy or if it was something non-Allagan the Allagans found there and realized they could use it to dam the flow of aether to the Burn.