So far there have been many more ways than just wild captures to get companion pets in Legion. Killing rares (of course) but also side quests, which I find delightful!
Whilst questing in Highmountain, along my way to a new area via quest breadcrumb, I see a Cavern off to my left and a !-toting NPC inside. Normally when I level, I might not stop at side-quests, but since I am testing I do everything I can see. Little did I know that this chain of side-quests finishes off in a pet reward – a Skyhorn Nestling 🙂
Also, inside the cavern I found a new wild pet – Echo Batling – adorable!