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Xen is mentioned in Half Life 2 “OUR BENEFACTORS”
In Half Life 2, after you finished destroying pretty much half the combine army, you get tricked into being captured in Dr. Breen’s office, who is in fact collaborating with the aliens. Now it is not known if Dr Breen has visited Xen like Gordon Freeman, but he does seem to have extensive knowledge of the planet. Doctor Breen can be overheard describing “worlds stretched thin across the membrane where dimensions intersect” or “Gas giants inhabited by vast meteorological intelligences.” It is very, very likely that Xen is one of the worlds Breen describes here.
