I've always heard a lot of people who considered the book of the two sisters canon, which stated that they were born alicorns. But everything turned into a mess when they said Flurry Heart was the first natural alicorn in the show so here's my own headcanon ^-^

This takes place thousands of years ago. King Morningtide and Queen Umbra have been ruling over the world for centuries at this point. They need heirs to their throne eventually, but they are both unable to have children. So after years of talking back and fourth about this, they went to their closest friend Star Swirl to help them with this ultimatum. They would both give up their bodies and spirits, and give up their lives to create two new alicorn rulers. They already have their names picked out; Celestial and Lunar. Celestia took the place of their father, and Luna their mother. They wouldn't retain their memories, but their love for each other did live on, which is why Celestia and Luna both love each other so dearly. Star Swirl promised to raise the two new princesses, and once they were of age they were told the fate of their parents. Luckily, they wouldn't have to make that decision ever, because they both have their own heirs. Every year on their birthday, they don't just celebrate their own lives, but the lives of their parents.

q(≧▽≦q) yeah very sad but respectfully I think I am very smart