That... is a really good theory, of course I know nothing of the plot and while I do know of
Legion, I can't say I'm familiar enough to see if there is anything in his backstory to go against the theory. That said, me personally I wouldn't like it.
Wait, nevermind, I do see something that would contradict the theory:
If he is Legion, that means he is Xavier's kid no? If so, choosing the "not an orphan" option implies that the woman who slept with baldy is running around somewhere. Wouldn't Xavier know or say something about you being the kid of a past flame of his? But hey, I haven't played the intro in a while so my memory might be fuzzy.