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Who is the first mega, truly? Zygarde's mega was unknown to humanity until Z-A, while Rayquaza's mega first appeared and was recorded by draconids 1000 years ago, but did Zygarde really have no mega until now? The zygardite is formed on your inventory, but that's not unlike the gem Rayquaza eats that is actually formed when the meteor you carry in ORAS changes into a mega stone, if Rayquaza already had a mega even if the stone it used in ORAS didn't exist as such until that game, who's to say Zygarde didn't have a mega before Z-A's specific zygardite was formed?
After all, Zygarde seemed to know pretty well what to do, giving you that rock that transforms into the zygardite shortly after it recovered its full power. Did Zygarde just happen to find a rock and it somehow knew it could turn into its mega stone and saved it for later? When did it realize it was a pokemon capable of mega evolving? Did it always have the capacity to turn a rock into its own mega stone and it's only in Z-A that it could find a situation where it was able to groom a trainer into letting it mega evolve? Since mega stones are born from life energy (that Xerneas gives and Yveltal takes) it would make sense for Zygarde to be able to create its own mega stone, I suppose.