Lazav, Wearer of Faces and cards like Phantom Steed

I'm building a [[Lazav, Wearer of Faces]] commander deck and coming across all sorts of rules questions, but one I'm stumped by is abilities such as the one on [[Phantom Steed]].

If I transform Lazav into Phantom Steed then attack, there is no "the exiled creature." Does the wording of Phantom Steed's ability mean that it only cares about the specific card that was exiled when it entered (in this case, no card), or can it create copies of cards exiled by Lazav, and if so, is it restricted to a single card or would it create copies of all cards?

My instinct is to say that the wording of "the exiled creature," means that it only refers to the card exiled when it entered, but I can't find any rules to back this up.

If my instinct is correct, what if I could get Phantom Steed to exile two creatures when it entered, say with an ability that copies a triggered ability? Would Phantom Steed's attack trigger make me pick one of those cards, or would it make copies of both?