@Fortune  
@Background Pony
 
Those are interesting (and somewhat valid, given the lack of info from the show in this regard) theories about where Celestia and Luna come from.
 
My personal theory is that both of them, regardless of kin or race, were students/test subjects of Starswirl, and that was how they were “alicornised”: Magic experiments.

I liked one fan-theory that suggests Discord created Celestia and Luna. Originally, alicorns were just allegorical figures representing the union of the three pony races. Discord in one of his bits of whimsy took the flag and turned the figures on it into actual ponies.

Celestia and Luna have never been related, they just happened to be standing next to each other in a crowd scene when a brony spotted them. Since bronies draw certain rather predictable conclusions when seeing two ponies standing next to each other, they were quickly declared to be sisters in an attempt to ward off less tasteful interpretations.
 
THE ATTEMPT FAILED.

@Fortune
 
Some day, maybe.

@PonyPon  
Well, it’s already been explicitly stated (in one of the books for what it’s worth) that Cadance was a Pegasus. And since Cadance had already been turned into one before the series started…
 
As for Luna being a former Earth pony, it was said that’s why she’s shown flying and using her magic a bit more, sort of reveling in the things she couldn’t do before.
 
That was just a theory. Hopefully there’ll be more answers as to what alicorns actually are soon.

@Fortune  
I’ve been thinking Celly was earthie, and Luna was a pega.
 
Twilight more completes the trifecta.

Since Alicornification is a thing, who knows if Celestia is even a natural alicorn?
 
I read a theory that said that Celestia used to be a Unicorn and Luna used to be an Earth pony before they became alicorns. And when Cadance, formally a Pegasus, became one, all the races were then represented.

Or they’re secretly lesbian lovers.
 
Or Luna is her daughter.
 
Or they’re not related and are only seen as sisters by the public, and merely humor them.
 
Or they’re a single binary lifeform.
 
Or Luna is Celestia’s imaginary friend, made real by her desperation for a companion.
 
Or this is silly shit and they’re sisters.

And butterflies have wings.

That would be disappointing.
 
No more princest!
 
_JK

She knows my secret…