Auron was originally from Spira. He rode Sin to Dream Zanarkand after he died and looked after Tidus, just like he promised Jecht.

After Yu Yevon was defeated, Dream Zanarkand and Tidus faded, because there was nobody summoning Dream Zanarkand, and by extension, Tidus. Auron was only still in Spira because of his promise to Jecht, and when he had fulfilled it, he allowed himself to be sent.