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The best way to do this in a single step outside of Advanced Roadmaps would be to populate the "Parent Link" field when you're creating your Epic.
You may need to configure this field to appear on your screen for the Epic issue type, but selecting your desired Legend in the "Parent Link" field will ensure that the relationship is created as the epic is created, and you won't have to link it in Advanced Roadmaps in a second step.
No worries at all!
As an aside, we're currently working on features to bring the full Advanced Roadmaps hierarchy into the core of Jira. You can read a bit about these changes here: https://community.atlassian.com/t5/Jira-articles/Upcoming-Rename-epics-in-your-company-managed-projects/ba-p/1874726
For your situation you may be interested in the "Updates to your Issue View" section. Essentially we're making it easier to parent issues on all hierarchy levels throughout Jira by consolidating the "Epic Link" and "Parent Link" field into a single global "Parent" field. These changes are due to roll out at the end of the year, so worth keeping an eye out for.
I understand that a legend is a custom issue type that you defined to be above Epics in the Advanced Roadmaps hierarchy.
As this is not part of Jira Software's default hierarchy, creating an epic as a child issue directly from your legend issue type is not supported in Jira (that hierarchy extension capability is only available in JSW Premium, as part of Advanced Roadmaps).
As a workaround, you can create an Epic below a Legend from the Advanced Roadmaps scope view, however. Select the desired legend there, hit the ... button next to it and choose Create Epic.
This way, the link will be made right away. Downside to this approach: you will need to go into the epic afterwards to add additional fields and you need to commit your changes to Jira before the Epic is actually visible to users in Jira Software.
Hope this helps!