I have a little bit different approach to this whole problem. More of a general GM trick about mysterious figures then (N)PC design.

If someone gathers attention, that person should not be mysterious. Think about it, no matter what kind of setting you play: if someone seems to be special or unknown variable, you better bet that someone wanted to know more. It may not be public, but you know how gossips and truth can mix. Divination, espionage, using proxies, using yourself posing as a proxy, baiting such person. If there is a true mystery, it was likely already in the process of solving. Hell, somebody probably hired not just one motley crew of adventurers to investigate, if there are any actual setting-spanning reasons.

What is important is the fact that everyone speculates. If you play the cards in hand carefully, they will complete the picture themselves.

Here is my solution to the problem: I am using all of the surroundings of said mysterious person and make them interesting. They are investigators, they have their own agenda etc. In my scenario, Zorro could be just an 'urban-myth' of sorts. It is not even required of him to exist. But it suddenly provides me with a wide array of people and groups with their own agenda.

Sorry, if it is not exactly what you were trying to find. I am just a bit opposed to stance that anyone is particularly mysterious and that fact alone should be what makes them special. Think about it like you would normally in your everyday life. Lets go one step further: you are the mysterious person. How would you react to someone who starts stalking you because you didn't answer inquisitively asked question about what were you doing two months ago. Now add to that the fact it is likely someone who you don't know personally, or met only recently.

Creepy, isn't it? I would advise you to do something like that during session, just to see to what extent players will take that. In my case it ended with them thinking that 'Police and Jury must have been in his puppets! Now he can do whatever he wants while having a solid alibi of protected custody! Sneaky bastard!'. Basically ruined the life of someone because 'there is always a deeper truth and conspiracy'. It was one of the scariest experiences I had as a GM.