Zelda may have had a more prominent role in the original storyline, and Sheik was her fighting outfit or something. Of course, everyone would know Sheik was Zelda, so...

Maybe Sheik was meant to be his own character in TP, and had nothing to do with Zelda? He just wasn't included for one reason or another. Too confusing, maybe?

It's also a possibility that they designed Sheik just for the heck of it, but had no plans at all of putting him into the game.

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