Auron wouldn't have shown up in Dream Zanarkand until way after Jecht had disappeared. They went on and completed the entire Sin pilgrimage and Auron had time to go back and try to beat up Yunalesca before he died.

I always figured he came around and told Tidus that he was a friend of Jecht's and looked out for Tidus. Of course Tidus was probably well on his way to Blitzball stardom at that point as well, and if Final Fantasy has taught me anything it's that talented teenagers often live alone and fend for themselves in the world.

Also, Christmas is an infidel.