The idea that they used to date makes sense though. Sheena is quite bitter toward Zelos, probably unnecessarily defensive when you take into the consideration that Zelos would flirt with anything. So imagine, when they were both young and Sheena was new to Meltokio. She didn't know anyone, and always felt like an outsider. Not only was she from Mizuho, but she was also learning to become a summoner, both of which are unusual in Meltokio. And then there is Zelos, strolling around like he owns the place and lavishing attention on all the lovely ladies. They meet, he flirts, she hits him. Or something like that. You can bet Sheena wouldn't treat him the way his hunnies do. So this would intrigue him, and make her different than all the rest. Underneath their exteriors, both of them are fragile.
In a blaze of arguments and misunderstandings they get together in the manner that all lovers of shoujo understand, but something happened. The Mana lineage is controlled; the Pope and the Church didn't want Zelos getting too serious about his Mizuho girl. It's okay when he is only frivolously chasing skirts; for him to choose someone of his own will can't be allowed. Perhaps this even puts Sheena's life in danger. Zelos can't allow that; he can't be so terrible as to allow her to be hurt just to keep himself happy. He's going to die anyway. He breaks up with her, knowing that it causes her pain, but consoling himself that it's the best. He breaks up with her in a way that makes sure that she hates him and wants nothing more to do with him, and this ensures her safety from the Church.
Tugs the heartstrings, doesn't it? In the game, they do still appear to be friends, so perhaps Sheena's pain has lessened. They both care for each other, and I'd imagine that she is just royally frustrated with him for being such a blockhead at times. Zelos obviously cares for her, and it's just unfortunate that we don't get more scenes with them where they aren't bickering. Zelos' hunnies definitely seem threatened by Sheena. But Sheena now has a crush on Lloyd, something which probably saddens Zelos and makes the decision to betray the group that bit easier. He covers up his true feelings more much of the game, acting carefree and cheerful when nothing could be further from the truth. He desperately needs someone to notice, to realise, before it's too late.
For anything to happen between Sheena and Zelos, she would need to get over her crush on Lloyd, and then they'd both have to stop being stupid. But with Zelos being free of his Chosen duties, and Sheena being an ambassador for the world of Tethe'alla, I'm sure they'll be running into each other frequently enough for that to happen. :P
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