Zoe says Mallory is a direct descendant from the witches of Salem. Could it be that she is, in fact, related to the original Supreme? Based on the timeline for the series, we know Scáthach first came to power in the colonial era, when Roanoke was just a colony. Though the Salem witch trials didn't happen at exactly the same time, it's close enough that Scáthach could be involved with America's first witches.
There's actually a pretty strong case for this theory, too: it would explain why Michael is afraid of Mallory and Mallory is so powerful. After all, we know Michael's powers are more impressive than the current Supreme, Cordelia. But Scáthach worshiped old gods, gods that may even predate modern religious tradition. Perhaps her powers come from a greater, much more ancient well. If Michael's powers come from the Antichrist story and the tradition of Catholicism, Mallory may simply have a story that goes much further into history. That's pretty major.