Your personal Tumblr library awaits
Is it already a theory that Zhao is Azulon's bastard child? Because this goes nicely with the theory that Lo and Li are Azulon's concubines. It would also explain why Zhao is so weirdly competitive with Zuko. Zhao also doesn't seem to respect Ozai much, either, come to think of it. He takes weird joy in the thought of humiliating Zuko and how it reflects badly on Ozai ("your father raised a coward.") There's an interesting backstory there.
What's also interesting is that Zhao says this about Zuko's inability to finish him off, which is what Ozai would want him to do, but Zuko is following his own instincts, the ones that got him banished by Ozai.