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We already know from several parts of the franchise that Arceus, Dialga, Palkia, Giratina and Unown live in different dimensions from the one we usually see in the games. And that's not even counting things like dream or ghost dimensions.
The anime even went as far as showing pic related, a model of these dimensions. All of them being part of Arceus' creation.
So what if Ultra Beasts are creatures from "outside" this multiverse? They could even be from the "gaps" between dimensions or be completely detached from everything. It would explain why they're not considered pokémon, since their origins differ from every other creature shown so far (even humans).
