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Biography Before the game
It is known that Zephyr is born and raised in a seminary of Basel. His parents are not known, and it's very certain that he is an orphan. The only known member of his family is his sister, who is extremely religious and supportive of the deity worshipped in the game (For the sake of clarity we'll call this deity God). Zephyr, on the other hand, is skeptical about God's existence and is not as enthusiastic about the religion.
Prior to the storyline of the game it is known that Zephyr is involved in a huge spree of killings, although it isn't known why he decided to do it. One of the victims in his killing spree is in fact his sister. Eventually he was hunted down by a Hunter named Vahyron, who handily defeats Zephyr but is unable to kill him (this is when Zephyr is being shot in the mouth and the brain, and he is still alive). Cardinal Lagerfeld, who followed Vashyron to witness the execution of Zephyr, stated that Zephyr can't just be left alone. From there, Zephyr was taken into Vashyron's care. The two didn't discuss their first encounter since.
In addition, as seen in the opening cutscene of the game's prologue, Zephyr was responsible for saving Leanne. Zephyr was wandering around in the streets until he saw a girl high on top of a platform. When he saw her jump, Zephyr sprang into action and saved the girl. However, it is questionable whether he actually "saved" her, because the cutscene showed the two diving downwards towards Basel, and without parachutes or other equipment they should've died from the crash. However, in Leanne's mind, Zephyr was the one who saved her.