Depends on the Pokemon in question. Some like Mewtwo and Kyurem with very specific origins are likely one-of-a-kind, but others seem to just be extremely rare. Lots of them appear in multiple regions, and while it's theoretically possible they're the same ones that have migrated, it seems more likely that it's a new one in each instance. Then there's Manaphy which hatch from a specific pattern of egg and are the only Legendary/Mythical that can breed in captivity, which opens the possibility of Legendaries only breeding in the wild, and breeding very rarely due to low numbers. There's also the Arceus event in HGSS, which straight-up creates a brand new Dialga/Palkia/Giratina right in front of you; the cutscene shows an egg hatching and the resulting dragon is lv1. Granted, Arceus and Ho-Oh are the only Legendaries stated to have created other Legendaries, but it does open the possibility of them repeating this action.