If Celestia and Luna have a canon back story, I’m not aware of it. This is what I picture happened to them:
 
Princess’s Celestia and Luna lived with their mother, Queen Eridanus, and their father King Enceladus in The Great Heavens. Shortly after Princess Luna was born, Eridanus, a sun goddess like her older daughter, suffered from complications and ultimately destroyed herself in grief. Her quasar-like death left her two children in terrible danger, but their father stretched out his great wings in protection and told them to flee as far away as they could. Carrying nothing but the newborn Luna in her mouth and not looking back, Celestia flew to their father’s friend Gaia who allowed them to live atop her enormous back and helped to raise them. When they were old enough, Gaia allowed them to take their rightful places in the cosmos– Celestia as the Sun Goddess who ruled the day and Luna the Moon Goddess who brought on the night.