Pre War
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(Note: There are two common variations in the belief, some believe that the elements themselves were sentient while others believed gods controlled the elements. I will discuss it in the sentient-elements context.)

The Ryn believed that the elements joined to together by chance in space and created their planet. These elements were Water, Earth, and Wind. When the planet was created with all elements perfectly balanced in it they all noticed that something seemed to be missing. They created a cold planet in which only resilient life could survive, and no life was there in the first place. No life to enjoy the world they made. The individual elements made their own animals, with little success, the animals barely survived. After years of tweaking the creatures to their liking the elements had created thriving life. Water made aquatic animals, Earth made land-dwelling animals, and Wind made animals that flew in the sky. They all watched after their creations in wonder for centuries but eventually felt that same thing missing, they needed a creature that could be something greater. All tried on their own to make such a beast but all failed. They came to the agreement to work together on the creature, and after years of making it perfect the Ryn became the product. Earth provided the body, Water provided the life, and Wind provided knowledge to the beings.

Any further stories of these elements or gods have not been found yet.

P.s. Certain regions were said to attract different Ryn to them, often coinciding with similar fur colors. Each region was more in contact with a certain element and so the Ryn followed that certain element more strongly than the others. I will list the details below.

Coast to river-Water element-Blue furred Ryn

Hilly areas-Earth element-Purple furred Ryn

Mountain ranges-Wind element-Green furred Ryn

Post War
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Individual Ryn believe in different religions, usually Earth religions but some stay with original one.