Yevon was the ruler (i think his title was High Summoner, or maybe thats me imagining things) of Zanarkand.

He created sin to protect him as a supposedly inpenetrable armour while he summoned Dream Zanarkand, and it appears that his armour is fond of causing death. I'm sure theres a reason somewhere, but I cant think of it.

Yu Yevon was the first Sin, he was at its core in the same way that the fayth of the final aeon was at its core. Therefore when yunalesca did the final summoning with Zaon as her fayth, Zaon then became Sin, since Yu Yevon soul, which was all that was left of him, possessed the aeon.

As far as I know, the Al Bhed could have been from anywhere, but where exhiled because bevelle had recently formed the Yevon church, and most Machina were outlawed, but they didnt want to gve up they're machina.

I'm sure someone will soon come along to fill in the gaps I've left, if these answers dont meet with your approval.