There were reports during the very early days of shooting that a WWII set scene was being shot for Avengers: Age of Ultron, with rumours at the time claiming that a ghostly looking Vision was on set. Peggy Carter was also said to be involved somehow, but trying to figure where this will fit into the movie and what exactly the sequence involves is near impossible. Two rumours exist which may answer that, however. The Scarlet Witch at one point apparently causes all of the Avengers to see their worst nightmare (which also explains that possible Thanos cameo), but for Steve Rogers, that will be finally getting to have that dance with Peggy Carter. It may not sound like a nightmare, but that's the life he lost, remember. Another is that a very early version of The Vision will be on display at a Stark Expo, which is attended by Steve, Peggy, and Howard Stark. That would provide some backstory for the character, and also explains where Ultron gets the prototype he later uses to create his new ally. Both are vague explanations, but both could be equally likely.
