Hm. Well, it's just that. He's mysterious and appears almost randomly. If he represented Zack, don't you think it would have been more obvious in that he would have shown up where Zack died and other such places?
If we look at Nanaki's past, he grew up with only one person as a mentor, just as Cloud did (Tifa). They both grew up practically alone, so it would be obvious to compare them that way, but it could be that he represents Cloud's dark past. If you think about it, he shows up in all the places Cloud made a mistake: where Aerith died, in the water near where whatshisface gets all the kids together with the Jenova gene and has them drink the water to do whatever, and other such places.
(You said to keep the theories coming.
)