The reason it's called The Legend Of Zelda is because it's not real. It didn't actually happen. That's why they don't call it The Legend Of Mario. That was a historical event that occurred in the 80s.
Interestingly, I just had a conversation with someone about how my father wanted to name me Grizelda, but my mother wouldn't let him. The Legend of Zelda is a fictional tale about what would have happened if I had been named Grizelda. And captured by a pig-wizard, I guess.
