Who are we?

[Naria]

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.

This line actually has a few different variations:

As a 1.0 "meteor survivor" player, I was told I'd adsorbed Bahamut's aether at Carteneau, and I believe if you've cleared coil prior to that quest you are told that it is a result of encountering Bahamut there.

Honestly its a vague "somewhere else" but if you want you could always just say that you are from a remote Eorzean community that did not interact with the cities much or have an aetheryte. This was the basic story I used as a Keeper and a Raen and it works for both since as a Keeper of the Moon and a Raen both characters would have been from isolated communities that wouldn't be considered mainstream Eorzean in culture.