I don't know they shouldn't be too hard to find online? I don't remember seeing them that often in Gamestops, but that's probably because people that own the games don't want to give them up. I certainly don't.

As for Nephilim, as I understand it. She was the first person to actually touch the original Zohar back on Earth in the 21st century. When she came in contact it absorbed her or something like to cause her to become linked with the Zohar. So her existence is now tied directly with Zohar. Which I think doesn't Abel from Xenogears actually see a girl when he is looking at the Zohar on the ship? Meaning Nephilim or Elly in this case.

Shion's connection with this whole thing isn't in anyway form explained until Episode 3, but let's just say that re-incarnation is definitely involved. However, that shouldn't surprise you since well like all of the main characters in Xenogears are re-incarnations of the original incident upon the landing on the planet after Deus goes wild.

At one point I thought that Proto Mercaba was like an early test of Deus or something. There are so many like huge weapons in the Xenosaga series that I saw at one point or another that any of them could be Deus' prototype, though my ending suspicions is that Zarathustra is actually Deus or at least related in some way to Deus.