At the end of Captain America: The First Avenger we see Howard Stark's team recover the Tesseract from the ocean floor.
in Captain Marvel we learn that the power source to the Lightspeed Engine Mar Vell was developing was the Tesseract found in Mar Vell's lab which was a Kree Impiral Cruiser in orbit of Earth.
Since Howard Stark was a founding Member of S.H.I.E.L.D after Captain America: The First Avenger S.H.I.E.L.D has the Tesseract, but given Fury was detained when looking into Project Pegasus (what Mar Vell was working on) this means Project Pegasus wasn't a S.H.I.E.L.D project.
So how did S.H.I.E.L.D lose ownership the Tesseract to Mar Vell?