A Pokémon I feel is pretty dang under appreciated is Deoxys, the alien DNA Pokémon. We first see its true origins in the Omega Ruby/Alpha Sapphire, where it's intercepted by Rayquaza in its meteor. Thing is...where did Deoxy's come from? My theory is that Deoxys is actually an Ultra Beast.
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Take a look at the Ultra Beasts, they're really strange even in the Pokémon world. Ones a paper thin samurai, one is a pile of circuits, Buzzwole exists , and Guzzlord is essentially a giant mouth. They're all extremely strange, something that perfectly fits Deoxys.
Deoxys just doesn't...look right. He's able to change his shape and appendages instantly, almost like he's made of liquid. Kind of like the T-1000 liquid metal terminator. He just doesn't feel like he belongs in their world nor their reality. So maybe Deoxys came to earth from an Ultra Worm Hole?
One last thing I'd like to say is that Deoxys is the DNA Pokémon, yet it's said that all Pokémon were created from Mews genetic code. So could Deoxys be the Mew of the Ultra Realm?