A question of origins

[Myranda]

It bothered me too at how heavily it's implied all players are foreign. Yes, there's ways to create a roundabout backstory while still placing yourself in Eorzea, but they do end up being rather complicated. Myself I say I'm from Ul'dah and just kind of ignore what most the NPCs say.

If you're still looking for other options though, there are at least 4 other continents (Ilsabard to the north/east, Othard to the east, Meracydia to the south, and the 'New World' to the west). If Ilsabard and Othard being under the rule of Garlemald bothers you, keep in mind that the Empire has only existed for 56 years. Depending on your character's age, it's well possible to have lived in those places before they fell to Imperial influence. Little is known about the other two.

Lyland also mentioned the Cieldalæs, which are technically still in Eorzea, but its among a decent host of other small islands scattered around the 5 seas, a couple others being Mazlaya and the Pearl. The "world" map could help in that respect, here's an annotated version I made.