Well, I think this question deserves a bit more attention than just brushing it off as open ended.

The story kind of -really- stresses the fact that the Warriors of Light came out of nowhere, in massive numbers, all at the same time. Surely their exact origins may not be necessary, but all these adventurers had to come from -somewhere-, right?

As far as I understand the story, they sure as hell weren't living in Ul'dah/Gridania/Limsa Lominsa already.