Mythril Bags are container items that are used to contain the Elemental Stars throughout the Golden Sun series. They only serve a storyline purpose, taking up space in your inventory without serving any use gameplaywise. The only Mythril Bags found in either of the Golden Sun games were originally in Kraden's possession, but it is not clarified how he got them or why he had them.
Note that in the first game, when Kraden gives Isaac the Mythril Bags, they are each replaced with the Elemental Star that is collected so the player in the end travels around with the Mars Star in their inventory, not the Mythril Bag. However, this changes in the second game. At the start, Felix is holding a Mythril Bag containing the Jupiter Star as opposed to just the Jupiter Star on its own. A Mythril Bag is also shown instead of the Mars Star. These are ultimately cosmetic details irrelevant to the overall story and gameplay. The Mercury Star and Venus Star are not replaced by Mythril Bags if they have been hacked into the inventory because they are not meant to be items transferred or used in any way in the second game.