<While the introduction to Oryx's Throne World is how some assume that the Vex entered our world, I propose this.
The Ascendant Realm is a completely different space from the material realm, and Oryx's Throne World wasn't attached to it until the Dreadnaught was built. The Vex also had records from an "Ecumene Gate" that held info about the Hive.
The Vex are probably not from this realm, but the way they are introduced can rule out a bit.>
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That makes sense, I’ll add this instead of the Crota theory.