Yes Arkay once was a man. Then he became Thief, which correlates for both one particular planet and constellation, but for sake of simplicity lets focus on planet.
So there is planet of thief in skies of Nirn. That planet is Aedra. That planet (=Aedra) is something from spirit which has lived for eternity (basically). It's more of an concept of something that anything concrete aware entity, it's there so that others could become like it (=become Aedra). Like Arkay did. Lets think about title of President, anyone can become president and since then one is called mr/mrs President even when one didn't born with that name.
Arkay became Aedra as a Imperial Aspect of Thief (the planet) during some time in history, lets speculate that this happened in times of Allessia (i don't know but post this post on that assumption to reinforce my point, so bare me). But that constellation and planet of Thief has been there forever. Imperials gave it name Arkay, but it has other names in other cultures.
To say that Arkay would have been Aedra always is false in my mind. That Aedra has existed forever and now Arkay is that Aedra aswell. We know that Allessians did pretty big reforms in religion to fit in both Nordic and Merrish faiths and if Arkay was part of such machination we then clearly can see when Altmer and Nordic aspect of Thief-Aedra turned into Arkay in Imperial culture. Yet Altmer Aspect of Thief-Aedra still continues to exist and so did Nordic Aspect of Thief-Aedra.
With Vehk we can see same pattern. Once upon time Vehk was boy-girl prosttute ready to swallow Nerevar's spear, at this time there were Anticipations: Azura, Mephala and Boethiah. Once Tribunal touched Heart of Lorkhan they replaced Anticipations. Yet Anticipations can clearly be seen and understood as seperate individuals from Tribunal, it was Boethiah who ate Trinimac, not Almalexia. Forexample. Anticipations have existed from start of time, but to say that so did Tribunal isn't totally correct either. Tribunal just merged with Anticipations.
God i hope this helps.
Edit: About Talos. Talos consists of Hjalti-Tiber/Thief, Wulfharth/Warrior, Arctus/Mage which are related to Aedras (in imperial culture Arkay, Akatosh and Julianos) but also much more. Talos infact haven't merged with any particular Aedra, but Talos Merged with Missing God Shezarr/Lorkhan. The Ninth. There are just 8 Aedras, 8 planets, 8 gift-limbs. Before Talos Imperials infact had just Eight Divines, with Talos it became Nine Divines.