Otherwise…if you failed the train mission..then you’re outta’ luck. Sorry =\
The one and only way to get to your first Bahamut-ZERO (you can get more later by mastering it) is to interact with the blue Support Materia in Bugenhagen’s observatory with the Bahamut and Neo Bahamut materia in your inventory. I think there’s something funny with this one though. I think the only way to get the Support materia is from the Rocket. However, if you missed any of the earlier Huge materia, then you will get one of those from the Rocket instead of the Huge Support materia. This is based on my own testing, as posted in the Materia sectino of the main FFShrine site. So basically, it goes like this: in order to get Bahamut ZERO, you must have completed the quest for the Huge Materia perfectly, or else you’re out of luck.
Oh, one more thing. If you did miss out on it, you can still get a second shot at summoning Bahamut ZERO by defeating the Emerald Weapon and then giving the Earth Harp to the traveling guy in Kalm. He’ll then cough up a chest with a complete set of Master materia, including a Master Summon that will let you use Bahamut ZERO and any other summon.