I think the
Lothlorien idea is quite unlikely for the following reasons:
(1) How does the mail-coat end up in
Erebor if it was given to a princeling of
Lorien?
(2) The
dwarves of
Moria were not friendly with the
wood-elves of Lorien.
Equally, the
Gondolin theory has the same problems. Even if
mithril is available in
Aman, how do the dwarves get hold of
Earendil's possessions?
Here's some other possible theories:
(1) It was made by the dwarves of the
Blue Mountains in the
first age, with mithril from Moria, for
the young Maeglin. These dwarves traded with Eol. After Aredhel and Maeglin went to Gondolin, Eol followed, leaving his home unattended. Any party of dwarves heading that way could have retrieved it.
(2) It was made by the dwarves of Moria for a young elf-lord of Eregion. I don't have a strong candidate for who that might have been. When
Sauron assailed Eregion,
Galadriel fled east. Some accounts have it that she went through Moria. Perhaps this was how the mail-coat was returned... out of
gratitude.
(3) It was made by the dwarves of the Blue Mountains for the young
Celebrimbor. This father,
Curufin dwelt near the
mountains, and one of his borthers (Caranthir?) benefitted greatly from trade with the dwarves. The mail coat could have later been returned to the dwarves of Moria at any time during the friendship of Moria and Eregion.
Of course this is all speculation and I doubt any of it can be proven.