Who are we?

[EdwinLi]

Well, it's mentioned you're not from Eorzea, as in, you come to Eorzea, however:

In the SMN questline (lvl58) it is mentioned that Bahamut's aether was spread across all of Eorzea and that you absorbed some of it (as anyone else).. so it'd indicate you were there or at least close by.

I believe 2.0 story showed a hint on how that was possible being

The 2.0 WoL was the one who gave Cid his goggles back when he or she has yet to be a physical being in the world yet.

Sometime after that event the WoL manifested into the world and what life and time they spent in the world they had until the beginning of 2.0 is up to the player's imagination.

With this there are basically endless possibilities with the WoL's Origin from being a person from another world, reincarnation into this world, natural residence of Eorzea from a small town, Born from another Continent and enter Eorzea for a chance at being a Adventurer, maybe born from Garlemald but left that life because "REASONS", and any other cliche origin story a person can think up.

As they say sometimes the best Origin option is one the Player can freely make up themselves.