Coming from a "foreign land" is a fairly common trope that serves a very specific purpose. The player knows nothing about these lands, it's culture, or it's people. If the character knows nothing about them either (because they're foreign) then it's easy to just have people explain all this to your character and have it make sense. If you're from Eorzea, then it would be harder to justify all these NPCs telling you all this very basic information that any Eorzean would know.