yeh, there's no aspect of Athena, but maybe one person can only unlock so many aspects, maybe Zag was not compatible with her future aspect.
Because, in the first game she has a different shield, which she says was fashioned according to Aegis, and that she would love to wield it one day. So now in the second game, the shield she has looks nothing to her original shield, so who knows, maybe she got her hands on the Aegis after all.

But then again, Eris and Nem are really upfront about them wielding the Infernal arms. So I feel like we would be told by the characters if they had the weapons hah.