War Without End, Part 1

RATHENN: I have the strangest feeling that I will never see him again.

EVIL KOSH: He is the closed serpent. He is returning to the beginning.

RATHENN: The beginning of what?

[Evil Kosh walks away]

A great exit there. I guess the Vorlon was simply annoyed because Rathenn's question does, of course, not make any sense and is nothing more than one of the many red herrings that appear in the course of the series.
While there is no 100% proof, it is now generally accepted knowledge (confirmed by JMS) that the Vorlon is indeed Evil Kosh, Kosh's successor as ambassador on Babylon 5.