Elder Evils Exiled Zargon
by RipvanwormerYou can replace "daelkyrs" with Outer Beings and get pretty much Zargon's fan-approved Mystara origin.
On the other hand, the notion that Zargon is an exile feared by those who banished him is an interesting wrinkle because it gives the PCs potential allies who wouldn't normally be their allies. You can use this idea without using devils or Baator; perhaps instead of Zargon being their servant, the Outer Beings cast Zargon out, and they will aid the PCs in keeping him bound to Cynidicea. Imagine a group of malfera or diaboli appearing as emissaries of the Outer Beings, providing the PCs with aid or advice.
That isn't even necessarily incompatible with The Dungeon Master's Guide to Cynidicea's idea that Zargon was sent to the Carnifex Akhor to advise and guide him; the Outer Beings could have given Zargon such an assignment as a way of getting rid of him. He might not even know he's been exiled, at least not until he's spent centuries imprisoned beneath a pyramid with nobody coming to rescue him.
The "barbarian" leader Zankar, described in Elder Evils, would have been the leader of the Antalian horde mentioned in The Dungeon Master's Guide to Cynidicea. Elder Evil's notion that Zargon killed both Zankar and multiple gods seems over the top; we can omit the gods/Immortals from the history without affecting much, though it's possible the Immortals sent some servitors (archons, perhaps) against him. "Asmodeus" could, however, be an Outer Being, or another Outer Being servitor dispatched to keep Zargon imprisoned on the Prime. Elder Evils itself suggests substituting another evil being for Asmodeus and substituting high-level wizards, priests, or other adventurers for the gods if you prefer that gods not be slain in this backstory.
It's also possible, as in Geoff Gander's article on the Elder Beings, that Zargon was banished to Mystara by the Old Ones and it is their servitors who seek to keep him bound. The Old Ones might seem, from a mortal perspective, as morally dubious as Asmodeus in their way. Zargon could have still represented himself to Akhor as an advisor sent by the Outer Beings even if his connection to the other Outer Beings had been severed.
Dorn and Neheshru could have been enslaved by the Iron Ring and brought to Fort Doom. Or what if gnoll slavers sold him to Hutaakan slavers in the Lost Valley? The idea of gnolls doing business with the Hutaakans may seem odd, but the Hutaakans of the Lost Valley are supposed to have become decadent and corrupt, rejected by Pflarr in favor of their Hollow World counterparts. Perhaps they feel like they need replacement slaves to aid them in their war against the Traldar, and have no scruples about who they buy them from.
Juiblex isn't a Mystaran demon, but you could replace him with an Outer Being/emissary of the Outer Beings as well. You could use Kartoeba, the Thing in the Pit from B10, as the entity that Dorn swears himself to. The Zuggtmoy misdirection isn't really necessary, but you could find a rough equivalent of the Juiblex/Zuggtmoy rivalry in the Traldar/Hutaakan rivalry. Perhaps, venturing into the Lost Valley of the Hutaaka (or perhaps brought there as a slave), Dorn joined a cult of Traldar who have begun worshiping Kartoeba, who torture Dorn until he joins them and send him to Cynidicea to arrange an alliance between Kartoeba and Zargon. Instead of cultists of Zuggtmoy, it's Hutaakan priests of Pflarr who begin assassinating people and implicating the cultists of Kartoeba in a deranged attempt at inspiring human authorities to see the Kartoeban threat for the danger it is. Perhaps since the Hutaakans lost control of Kartoeba in the Temple of Pflarr, its worship has been spreading into human communities in Karameikos like Specularum and the thieves quarter in Fogor Isle in Threshold. The local watch has been encouraged to turn a blind eye toward cultists' activities until the watchmen begin dying out, ceremonial blades with tentacled designs struck through their hearts.
I thought of Vanessa as a Glantrian (or Alphatian?) scholar, but she could belong to whatever adventurer's guild the PCs belong to if that makes it more likely they'd work with her. Instead of being "an expert on dead gods," she could be an expert in obscure Immortals, doing research on the Immortal patrons of Cynidicea (who are very much alive, but unknown to those in the outside world—though Vanessa might assume they're dead). She doesn't have to be a tiefling. If you establish that some diaboli are emissaries of the Outer Beings determined to keep Zargon (and Kartoeba?) imprisoned, she could be the partly human descendant of diaboli assigned to the Prime Plane for that purpose. Or she could be from Frisland and have Ogam ancestry.
Vanessa could also be an apprentice of Golthar from B10. Golthar is a member of the Iron Ring and might have bought Dorn from gnoll raiders. Perhaps Golthar was exploring Xitaqa because his true interest is in the Outer Beings that Kartoeba was exiled from, and he dispatches Vanessa to hire the adventurers to explore the Lost City for the same reason, to learn of Zargon. Golthar might end up becoming a cultist of Kartoeba, brainwashing Dorn into the cult and spreading it elsewhere in Karameikos. If Golthar dies in B10, Vanessa might carry on his work.
A plausible campaign could involve the PCs playing through B4 and encountering Dorn as a naive young prince looking for excuses to leave Cynidicea and see the outside world. They meet him again while playing through B10 and freeing Dorn from the Hutaakans or Golthar, then confront the cultists of Kartoeba later on in their adventures as they attempt to solve the mystery of murdered city guards. Later, they meet him again after he's seized control of Cynidicea.