E.N.D. & Natsu Theory[]
I think that Natsu is just the Physical Form of E.N.D and we all know that the Book of E.N.D is E.N.D's soul. So maybe 400 years ago, E.N.D's body was destroyed and his soul was sealed back into book form. And so he would communicate through Mard Geer giving him orders as the Master of Tartarus. That would explain him talking with Mard sometimes and why Zeref haven't destroyed to book yet.
As for Natsu being E.N.D's body, maybe without E.N.D's spirit, his body had his own personality, and if he opened the book his soul will return to Natsu. (Just like in Heroes where Matt Parkmen sealed Sylar's consciousness inside him while Sylar's body took the personality of Nathen Patrelli)
(As to the what happened to Natsu being E.N.D's body that will be covered in Theory 3)
Zeira Theory[]
I do really think that Zeira from "Fairy Tail Zero" is not dead and is alive for a few thoughts. First is that Tenrou Island has magic properties and has the ability to keep people from dying so probably it kept Zeira from dying (maybe since she was she was a spoiled brat one point and then she turned over a new leaf about how she and Mavis can be friends, maybe that bit of "Nakama" moment caused the island to protect her from death.
As to why no one can see her, I seriously don't think Mavis created an illusion of her because why would she make her invisible to everyone else or that she is an imaginary person because I think Mavis is too smart, caring and sane to lose it, she seemed to make it on the island and can beat Yury at a guessing game who used to play it as a kid. Also usually and insane person who has been trapped on an island would not want to leave but she seemed to be ok with leaving.
I think she has a very powerful concealment magic that she doesn't know of that hides her presences from others. I also think it would be the same spell that conceals Tenrou Island from outsiders who are not part of the Fairy Tail Guild.
(Also we all know how Hiro likes to tease us about these things, but I'm not falling for it.)
(As to the fate of Zeira that will be covered in theory 3)
Zeira/Zeref/Natsu[]
So this is my Big Third Theory is that Zeira and Zeref are the parents of Natsu Dragneel. I know people will speculate on this but hear me out. There are several Things that I found that supports or hinted this.
1. Her father's the Guild Master of Red Lizard as to Natsu being known a lot as Salamander and was raised by the red dragon Igneel.
2. She learned how to use Fire Magic just like Natsu has Fire Dragon Slayer Magic. (That is assuming that theory 2 is correct)
3. She has a strong personality to not run away like Natsu and in her teen years she comes to care for Mavis as a friend just as Natsu comes to care about his friends too.
4. (A bit of a stretch but hear goes) Based on the Omake "Natsu vs Mavis" that Natsu had not that much problem being around naked girls in baths like Mavis and Zeira at the lake.
- That is all for now, will update when future chapters comes out that supports this thought.
So as to how Zeira could be Natsu's mother, maybe after Mavis and the other's beat Blue Skull she wanted to go back to Tenrou Island but Mavis has second thoughts and wants to stay even when Fairy Tail was established. This causes problems in their friendship. Maybe when she sees Mavis being more open to one of treasure hunters like Yury this causes her to be angry so much that she left and she would run into Zeref again and that they would bond a bit (they would somehow overcome Zeref's curse). They talk about being lonely and all that and they would travel together.
After years of separation, Mavis and Zeira were reunited and to find out that Zeira was pregnant but she doesn't tell that it was Zeref's kid. (That would lead Natsu being E.N.D because maybe his body can be reincarnated through Zeref's child.) she would stay at a house that is the same one Natsu and Happy stays in.
(To Be Honest, I have not thought of want would happen next.)
Something bad would happen to Magnolia, Fairy Tail tries to stop it. Zeira would finally give birth to Natsu and Igneel would find them and she gives Natsu to him to look after but he would already know he is E.N.D. Zeira would die shortly after from child birth.
That is all I have, thoughts?