And as much as I hate to say it (since it’s completely different territory plot wise), I now think it may have something to do with the three paths somehow, especially since Azura sings the first part of Lost in Thoughts All Alone and it transitions to the battle right after the scene almost like time travel or warping to another dimension (like the Astral Planes) had occurred.
Also, since a tear rolls down her face I could assume there is a prequel path to the three paths that causes the three paths to happen?
Someone else mentioned:
She’s been taking a trip down memory lane [she went to Valla in the Two Swords cutscene], Corrin gets jumped because he isn’t supposed to be there, Gunter leaps in to save the day and they take him home.
But that happens in Conquest in the middle of it so it doesn’t really make sense to put that scene at the beginning of the game.
Additionally, if she did go to Valla in the scene the way she did it is completely different from how she did in Conquest since there seemed to be a warp gate she entered.
Also, I would assume Corrin would follow her but Corrin was not introduced or shown at that time.
Basically I don’t see how that could be it.