Ok, so this is my wild speculation.
I’ve been reading Cayde’s journal (link here) and when I was reading his piece about how he was moved to Saturn, supposedly after he accepted the offer of Clovis Bray to become an Exo, it suddenly sounded to me like he was moved to a one of the moons of Saturn, which is obvous from the text, but which has been converted by Vex!
This is the full line:
Saturn. No, someplace else. Someplace colder.
This moon has been almost completely converted, a sarcophagus of ice and iron.
Stone towers rung round with glaciers, rooted deep within a heart of snow.
I came here flesh and bone. Gave everything to the ice.
Ok, so what struck me first was this part of this sentence “This moon has been almost completely converted…”. The only power, we know, who can convert worlds, are the Vex. We know that they have fully converted the Mercury or Nessus. It also indicates that Vex did it, because of the word “iron” in the second part of the sentence “a sarcophagus of ice and iron.” We all know how Vex structures contain a lot of iron (see Pyramidion for example). The only thing, which does not sound as a Vex thing is the ice, but I can guess that addresses the surface of this moon, for example Enceladus or Rhea are both icy moons of Saturn.
And there is also this sentence, which in my opinion also refers to Vex:
“Stone towers rung round with glaciers, rooted deep within a heart of snow.”
This also sounds like Vex structure (do you remember the stone pillars, which can be seen in Infinite Forest or in a story sequence, where we can see Mercury, while it is being converted by the Vex?).
So, after all this I started to think. We have a moon of Saturn, which might have been converted by the Vex and somehow Clovis Bray during the Golden Age managed to discover it. They also managed to understand, how Vex are able to convert other species into Vex (this is still just another theory, but we have a lot of clues about how Vex fluid is organic and is able to transform/convert someone into vex - Asher Mir e.g.) and started to use it for creating Exos. See, we know that Exos are physically robots or something very similar to them, but who also retain human emotions, maneurisms and all other kinds of behavior natural for humans. What if Clovis Bray was able to convert human bodies into machines, with their minds not completely destroyed (but still in need to “reboot” them once in a while). Also Kabr, who became one with Vex is also still talking to us (link here), even though he was converted. We also know that there is some connection between Exos and Vex. There is another theory that says that Exos where created to battle the Vex (link here).
So what do you guys think? Do you also think that the Vex and Exos might be much more similar to each other than we thought?