He is a thought. The prophets say they are "of bajor". I wonder if they are bajorans from the future that has evolved in to non corporeal beings. They send orbs to guide their unevoluved ancestors but don't interfere directly so as not to contaminate the timeline.
But then they would have had a concept of linear time when Sisko first met them because they were corporeal beings before their ascension. Being "of bajor" also doesn't mean from bajor, like when they claimed Sisko was of bajor. We know he wasn't from there but he was integrated into their society as the emissary and over time began to feel a connection. His situation is kinda similar to the wormhole aliens who send orbs, unwittingly inspired a religion. When they learned about linear time from Sisko they might have taken a closer look at the outside world looking at it linearly and realized what had happened, then one prophet was like "These pagh wraiths ... I think those are the dicks we kicked out" which forced them to take an even more active role because they felt bad having unleashed an evil force on the bajorans. Maybe to them being of bajor means having a responsibility or a connection and "You/We are of bajor" is a reminder of that.
Just because the Prophets have perception outside linear time doesn't mean they weren't born of something linear. Much like how in Course: Oblivion their minds so perfectly replicated the originals they lost the knowledge of where they came from. I find it at least plausible the Prophets are Bajorans who transcended their physical bodies like in Transfigurations.
You're not the first to think this. And I'll repeat myself: if so, these Prophets certainly have retained some Bajoran characteristics…. for example their tendency to involve foreigners to solve their problems for them….
I know they are too annoyingly cryptic at times and I wanted Sisko to shake one of them for being so incredibly unhelpful at times!
Nope, they are Gods that guide Bajor. They are cryptic not on purpose. "Of Bajor" means that they guide Bajor and have been for eons. They don't have to operate using linear time and they are beings with no past and an endless future, because they are gods. Since they can go forward or backward in time, the concept of time is meaningless. If they want to look at something from Bajor 15,000 years ago, they simply ARE 15,000 years ago. Since they can be in many places/times at once the act of linear time is irrelevant. The Bajorans call them "prophets" because they guide the Bajoran people. But it took a God or Gods to do stuff they did or even for a simple example when they made all of the JemHadar ships simply disappear inside the Wormhole.
There are no such things as "gods" in star trek only aliens which are advanced or super evolved. The prophets in my opinion could be Bajorans hundreds of millions of years in the future who have evolved to be outside of time.
Q is not a god, yet his powers - given to him merely by evolution - can do whatever the wormhole prophets can do and more!