Ooh this all is interesting. I may disagree on some points, but you gave me a lot to think about.
I have to say, I personally disagree with the idea of Vritra being Seiros. For one, Vritra is named after a figure in Hindu folklore whose name means "to drive away water". I'm bringing this up because not only does that sound awfully Agarthan-adjacent (given they view Sothis as the great flood essentially) but that naming convention also fits Agarthans better due to Thales signature class, Agastya, being named after a hindu mystic (IIRC the name of Epimenides personal class, Avesta, also has a hindu origin tho I could be wrong on that), versus Seiros due to Nabateans having celtic naming conventions (including Balor, which could hint them being Nabatean-adjacent). For two, we already know that Fabio is an Agarthan, which seems to be something Anatolias faction knows due to Katarina (the woman who is possibly Anatolias boss) calling him "Anacharsis" (which, if you know your 3h etymology, makes him basically confirmed to be somehow connected to TWSITD). Therefor while its possible Anatolia means Fabio being tied to Church of Seiros, she could just as well talk about his true allegiances. So while yes, it is possible that Vritra is the name of either Seiros or even Sothis, based on the etymology and Fabios possibly true allegiances, I personally view Vritra being connected to TWSITD as a bit more likely atm. Though there's Anatolia calling Eshmel a follower of Vritra which honestly confuses me if Eshmel is Pale Raven (aka Anatolia and co.s god) and looks like them why would she mistake them for the enemy. Tho then again considering Eshmel shares designcues with Arval/Epimenides who are connected to TWSITD, so maybe that kind of aesthetic is common to TWSITD too and thus Anatolia mistook Eshmel to be tied to TWSITD.
Also fun fact. In hindu mythology Vritra seems to play a similar role to Typhon from greeks myths who opposed the greek pantheon. And you want to know who presented an interpretation on Typhoons story? That's right, the irl Epimenides. Idk if that will lead to something I just found that interesting.
Anyways, Vritra's dubious allegations aside, I actually do believe in the idea of there being an Anankos situation going on regarding at least one of the villains (could be Balor or Vritra depending on if you believe Vritra is some big evil TWSITD deity rather than just tied to Sothis/Seiros/both). I suspect that there is a sort of Ashunera-Ashera-Yune situation going on, where there was a god/entity who was split to multiple parts, this could be Balor and Eshmel assuming Eshmel is connected to Nabateans, or Vritra and Eshmel assuming that Vritra is a new TWSITD-aligned character and Eshmel is connected to Agarthans (which I believe). Regardless, the big thing that I believe is that the soul who became Eshmel does have a real canon identity, and that said identity is Darkest Dark. Whehter they are Balor, Vritra or someone we haven't heard of yet remains to be seen, but I do believe that there was an Anankos/Ashunera situation going on with them, one half becoming the final boss (Balor, Vritra, someone else, take your pick), while the soul became Eshmel. Feels just the type of twist FE likes to do with avatars without just repeating the exact same plotpoint again.
I really like the idea of Balor and Dagda having the Anankos situation going on as an alternative theory though. Its something I never thought of before, so thanks for bringing it up. I didn't know they called the Gautier crest "Diadem of Duality", that gotta be important given how surprisingly important the Gautier crest seems to be yet we don't know WHY its important yet alone why out of all crests Gautier specifically (it's kinda like Agarthans or the evil nabatean woman. We know they are important but we don't know what their role will be due to Intsys vagueposting about them). I do think the idea of Dagda as a Duma-like figure is interesting though, I personally assumed he'd be some sort of mixture between Sothis and Rhea lore-wise (like on the same power level as Sothis and being the parent of the Rhea stand-in but fulfilling a similar authorial role as Rhea/Seiros) but I could see that too, it's not like they're mutually exclusive. If he's similar to Duma that could lead to some interesting possibilities of his narrative role and character. Like maybe this whole storys problems started due to Dagda dying or going missing, just like SOVs story started due to Mila and Duma degenerating. Maybe Dagda was a direct child of Sothis (like Rhea/Seiros) and thus Sothis made him a sort of head-god of Dagda, giving him a status far higher than other gods or other Nabateans. Maybe he had a similar stern "strength as a sign of wisdom" mindset Duma had. Heck, maybe he degenerated and the degenration led to him becoming Balor, like having his soul hollowed to be a new being. I think something that supports a potential connection between the two is the fact that Balor most likely seems to be a Nabatean (or at least, a god, we don't know if the gods are Nabateans or if they are something else), especially considering their celtic name origin, which again, is a very Nabatean thing. So again, if Eshmel is connected to Agarthans as I speculate but Balor has a Anankos situation going on, it could be possible they are tied to Dagda instead. Or heck, maybe Dagda is the father of Balor, who failed to raise them and is the reason they turned evil. That feels very FE for me imho. I could see either.
YOO I love this theory. A big thing w the Nabatean lady is that she is carrying a baby and seems to desparately want Balor back, so while it could be the typical "Gharnef resurrecting Medeus thing" (I think its safe to say that the Nabatean lady is our Gharnef, and Balor either is the Medeus or at the very least, the game wants us to think that, even if that role may belong to someone else *cough* Vritra *cough*), its possible that her motivations are deeper than just "let me resurrect my god" most Gharnefs are. Given the baby motif and the overjoyed desperation, I could see Balor being the womans child, and. Heck, this would make her the dark mirror to Rhea. If Rheas motivations are to resurrect her mother due to unhealed grief, her motivations are to resurrect her child due to unhealed grief. Rhymes pretty well would you say? I also admit, I really hope this is the case since it would also prevent her and Balor to be generic FE wizard and big FE dragon #42 which honestly is my big fear surrounding them, esp since they and the Underworld feel far more fantastical and Maeda-esque compared to rest of the game (my first reaction to them was "what the fuck is a Maeda-esque evil zombie army led by the big bad doomsday dragon doing in my Fodlanverse game"). So I would very much like them having more going on narratively and thematically, and this is one way of doing that. And yeah the way they have handled the Nabatean lady is deeply bizarre. I wonder if its some sort of spoiler-embargo like. She's clearly important so maybe she is tied to some major plot-twist and thus cannot be shown at all without giving away the entire plot. I feel this is the case with many things Intsys is coy about regarding this game like Agarthans, Eshmel, The Darkest Dark or even Fortuna. Or maybe she just doesn't show that much and only shows near the end. Given FE it could be either. Maybe its both. I jsut wish we had her name already it could help a ton in understanding who she is. Oh yeah I don't think she's Iliana, unless she and Iliana have an Anankos situation going on. But at this point we are assigning everyone an Anankos situation. We are starting to sound like Deltarune fans who connect everything to either Gaster or Device_FRIEND, no matter how unrelated those ideas are to them lol. Yeah same here, the marketing has been frustratingly vague of this stuff (which is why I feel it will be important and have some twists). The best we can do is take the little we have and speculate. Which is fun admittely. Theorizing can be fun, as long as you don't let it get over your head haha (which I admittely have done, especially with some of my theories involving Eshmel).