Things that make you go hmm...(in no particular order)

Woglinde: Shion checks over the Realians, mentions something about how she got assigned to the First R&D Division being a mistake in the paperwork.

Shion says she is thinking about getting transferred to the Third Division (Realian development and training) even though the First R&D Division has the best researchers and apparently, it's very difficult to get a position there.

when KOS-MOS first wakes up, she immediately looks for Shion.

chaos explains to everyone that his powers are something that he can just do, something that defines him and then asks Shion what defines you? but she's too caught off guard to come up with an answer.

Encephalon: chaos tells Nephilim that Shion is vital to her (KOS-MOS), and Nephilim tells chaos to you, as well

Shion can hear the Song and her hands glowed when Gnosis appeared (Momo's hands glowed at the same time).

the whole strange stuff with Shion and KOS-MOS being part of the Y-data and the comment he really didn't want anyone going in there, did he?

Wilhelm telepathically talks to Virgil, images of Shion and KOS-MOS appear, Virgil says so that's what this is all about. You're quite the cunning bastard

Gaignun walks past Shion, then says No, it can't be...

back when Gnosis attacked the hospital, Shion saw her parents die, but she lived to tell the tale... very intriguing.

Shion doesn't die from being touched by a Gnosis and hasn't turned into one either

At end of game, Nephilim tells Shion to see with her heart. Shion closes her eyes and is able to sense KOS-MOS's exact position (thus saving her from going down with Proto Merkabah)