Okay, full disclosure, I’m starting this theory based on a pretty wild guess. I’ll cover as much as possible on the Vex that I can find, but the thought occurred to me while reading Ghost Fragment: Mercury.
"One face is blistered, the other plunged into a brutal chill. Is this how it’s always been?
You remember hot oceans, nourishing atmosphere. But something transpired, kicked what was wet and fertile into space, stealing away everything of value. Or perhaps what thrived here for a day or for ten million years decided to leave, peeling its wet organics off the bones."
We know what happened to Mercury - the Vex turned it, freshly terraformed into a garden world, into one of their machine planets. What jumped out at me was the phrase “wet organics” and how that immediately brings to mind Vex radiolaria.
Mercury was a garden world. What other gardens to we know of? Pomona Mons and The Black Garden, both also Vex territory. Did the Black Garden originate on Mars? As far as I know, we bound it to Mars’s surface straight out of time, but that wasn’t its natural location. Could it have been the gardens of Mercury, ripped into the conflux by the Vex? That would explain the naming of the units within the Garden - Sol Divisive, and the body guard of the dark heart, Sol Progeny.
Dealing with creatures whose natural state of existence is a causal loop makes it useless to try to pinpoint one singular origin. However, looking at Mercury, it allows us to entertain the possibility that the Vex came not to Mercury but from Mercury, the garden world, where they ripped all that was alive away.
Legend: The Black Garden reads "I am Pujari. These are the visions I have had of the Black Garden.
The Traveler moved across the face of the iron world. It opened the earth and stitched shut the sky. It made life possible. In these things there is always symmetry. Do you understand? This is not the beginning but it is the reason.
The Garden grows in both directions. It grows into tomorrow and yesterday. The red flowers bloom forever.
There are gardeners now. They came into the garden in vessels of bronze and they move through the groves in rivers of thought."
Pujari makes it sound like the Vex arrived or emerged on Mercury after the Traveler. One legend says that the Vex reside at the core of every celestial body, so who knows how close that is to the mark.
In verse 4:8 of the Book of Sorrows, The Partition of Death, the Vex enter the Hive netherworld.
"With his sword Crota cut open a new wound, into a new space. In here he thought he might obtain a secret power.
Out of this wound came machines called Vex. They invaded Oryx’s throne world."
Clearly the Vex network is more similar to the Hive netherworld than our own reality, but the Hive came from our universe originally as the Krill, and the netherworld was reached by the powers of the Deep.
The Vex conflux could be created by their mastery of time, making it possible for Osiris to enter and exit from our world, because the Vex could have started out in our world.
But where, and as what? I don’t really think the Alpha Lupi take on Mercury offers proof, but it’s worded in an odd way that seems to say more than it reads.