There's also the story of Enkidu, which is an FFV thing, and whose primal form is even based directly on his FFV appearance.

Yeah, there's plenty of cameos that are native to the game's universe, but they are all very clearly explained as having in-universe origins in generalities if not specifics. But there is just straight-up no explanation for Gilgamesh aside from 'yeah, he's the same guy'--which itself is accurate to Gilgamesh, because in most games he turns up he's the only guy actually crossing over from another game.

Our Omega's an interesting one, because if we take the Kefka situation to be 'he somehow had contact with and recreated Actual Factual Kefka', then he might plausibly be an Omega from one of the other games, but he can't be all of them because XV's Omega is in the same position of 'has an in-universe origin but also a history of dimensional travel'.