I believe the current in game canon is "Dropped on Yoshi's Island by accident by the stork, eventually brought to his parents in the Mushroom Kingdom, eventually moved to New Donk City where he kept getting into shit with a gorilla over his then poli-sci major girlfriend, moved back to the Mushroom Kingdom to enlist in the various wars againsts Bowser's imperialist regime, at some point bought an island with all the gold he had quietly been stealing from the kingdom residents in the confusion, but he was never quite able to get the funk out after Wario crashed the place, so he eventually bought a more modest house with his brother back in the Mushroom Kingdom."
That or the stage actor theory...