Thalassa came from a conservative family. Her marriage to Jove Justice was a shotgunwedding. According to Brushel, they had only been married one year when Jove died, meaning Apollo could have been concieved shortly after the wedding, or shortly before it. From what we can see in the Divination Séance, Apollo was very little when Jove died, but not newborn-little. My headcanon is Thalassa was pregnant already when she got married, but not so far gone that it had started to show. According to Zak, she left the troupe after she got married, and didn't seem to have kept in touch with them. While she was gone, she carried out the pregnancy, had Apollo, then believed he had died in the fire along with Jove. She then returned to the troupe, obviously without a kid, and at some point after that got married to Zak and had Trucy. Zak never got to know about Apollo's existence or that she had ever been pregnant before having Trucy, we can assume Valant didn't either, it's unclear whether Magnifi knew about it or not. As for what she actually had planned to do, I see a few possibilities: either she was planning to tell Magnifi, Valant and Zak about Apollo when he'd gotten a little older, or she was going to keep staying away from them, and only returned because she felt she had no other option after having lost both her husband and, to her knowledge, her child. Or Jove was going to take care of Apollo and Thalassa do something else. When Phoenix spoke to Brushel, the latter said about Apollo that he had "slipped through the cracks", and was "another orphan, now". At least to me, the way he words it suggests giving Apollo up for adoption wasn't something that was meant to happen (just that before SoJ, it seemed like the most plausible explanation with the facts we knew by then).
The other thing is a headcanon bordering on "makes sense in hindsight" (and "harsher in hindsight"). In Dual Destinies there's the flashback where Clay is sad because his mother just passed away, and Apollo comforts him saying he understands how Clay feels because Apollo doesn't have a mother either. It always struck me as a little odd, seeing as from what we knew Apollo didn't have any parents at all, not just lacking a mother, but I assumed he said that because that was what Clay was sad about and their common ground, so he only mentioned not having a mother. Then in SoJ we learn he grew up with a father. In the flashback he doesn't look a lot older than on the photo we see of him, Nahyuta and Dhurke in SoJ, so it's possible he befriended Clay shortly after having moved to Japanifornia and that he was still waiting for Dhurke to take him back to Khura'in at that point.