Judging by the the fact SIU has been such an unpredictable writer, I find it difficult to believe that he would make Baam the son of Zahard as it would very cliche. In addition, I feel like it wouldn't be all that interesting. I just feel that there are more creative reasons for Baam's existence...
1. Baam is the son of Eurasia Enne Zahard and Phantaminum
Baam was born secretly to Enne and Phantaminum. (We know that the Eurasia family have very good control (It can be assumed that Yuri is not the only one that is associated with the irregulars). Upon hearing of such a child, given that he would have the power of both a Zahard and an irregular, Zahard probably sealed that child away and kept him under surveillance from a safe distance. The secret of Baam might have been told to Zahard by Yuram Zahard, which would explain why Eurasia killed. Her anger with Baam being taken away probably led to her killing rampage. And upon her being sealed away, Phantaminum's anger with losing both of them may have led him to attack the kingdom, only to finally reach Zahard, but leave him for Baam to finish off
2. Baam is the living evidence of Enryu's ability to create life.
For people in the tower to say that Enryu had the ability to create life, such power either had to be demonstrated for the public to see or a very credible source would have had to been the act and spread the word. Imagine if Enryu had the power as well as the imagination to dream up and create a being more powerful than either himself or Phantaminum, and this was seen by Zahard, the child would be sealed away. (In addition, such a reason for his existence would make sense as Baam being made of shins should allow him to control it amazingly well, in addition his obtaining of the thorn should becomes all the more satisfying.
3. Baam was created by the creator of the tower in order to free the tower from the rule of the Zahard.
One could imagine that the person who created the Tower, appointed the guardians, and created shinsoo must also be powerful enough to create a being much stronger than any irregular could ever be. Although abundant in creative but not skilled in combat, the creator may have found that this is the best solution to beat King Zahard. Then, in order for him to have the power to kill Zahard, he made him an irregular, leaving him outside the tower. And, as far fetched as it seems, such a story would make Baam seem to be somewhat of a Christ figure.
Now, please understand that these are just predictions as none of us have enough information to make any assumptions about Baam's birth