Time for a bit of creative fun.
It's long been a peeve of mine that the sequel to the awesome movie Highlander was so terrible. It tried to explain the origin of the Immortals and failed utterly by making them somehow aliens and the Prize they fought for the knowledge to create some kind of environmental shield for the planet. Lame to an infinite degree, it made no sense.
Here's what I cam up with.
There is an Egyptian myth about the god Osiris, his wife Isis, and his brother Set, in which Set kills his brother and then scatters the pieces of the body all over the place. Isis gathers them together and resurrects Osiris. I would have based the movie on this. Osiris could have been a god or some powerful entity who was decapitated and then sundered only to have his spirit gathered by Isis into children born of various human tribes, maybe passed down the bloodlines until activated by another Immortal. Each of the Immortals could sense the others because they shared one spirit. When they decapitated each other the pulled the pieces back together until only one remained.Conner would have become Osiris or at least have his power and wisdom.
This could be explained through Conner's memory and then it could be revealed that Isis and Set are still around too. Isis might be passing through females in a similar manner, maybe with a twist like there is only one and its passed on mother to daughter, or there could be a female Gathering. Then together they save the world from Set.
Set, Osiris, and Isis might be alien entities but the Immortals wouldn't be.
Can we try again?