Spoiler for new readers and maybe for others who dont read the comment section.
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Sooo. It looks like Zay had been a person from this world all along, but because she saved Aseph she died, and the goodess transported her soul to another world to save her from painfull memories and the repeated fate of her scarafice. Thats why its only her sister in the story, and also the reason why Aseph was attracked to her sister in the story.( just like the prince tought that Zay was his destined pair until he saw her mark, since the sisters are very similar) The reason why Zay felt Asephs agony missfortune and pain even tought it was ''just" a book in the modern world was because her scarafice for him as well as her being his destined pair, so their bond was not severed even through dimensions. However I do not know why she got back to her original world exept her strong wish to change Aseps fate. (=・ω・=) thats all I hope I helped.(⌒▽⌒)
I'm confused.