hints that point to it. There are three things I remember him saying that point to the fact that he is from the world that Warbreaker takes place on. First, he talks somewhat randomly about colors. Second, IIRC, he mentions something about the climate of where he came from. Third, and probably the most telling, there is a point where some people are playing a game of throwing colored rocks into the dirt, and he mentions something about it being something the people where he is from use to play (the same game is mentioned in Warbreaker).

I can't remember if there is anything else...other than apparently Brandon Sanderson has even come out and confirmed that Zahel is Vasher.

Here is a page that mentions it, along with a few other interesting things.