Ahhh, yes that makes sense! I think it's very plausible that once Shen Wei meets Zhao Yunlan he spends a lot of time turning over his memories of Kunlun in his head and trying to make Zhao Yunlan fit - especially before he settles on "Zhao Yunlan is Kunlun he's just not Kunlun yet". We see him do it enough in the show at important moments (eg. the conversation about the meaning of his name) that I think it's very likely he spends a lot more time doing it that we aren't explicitly shown!