These are my headcanons for Celestia and Luna’s parents.

Dayspring was a noble pony from early Canterlot. She had a weak constitution but that didn’t stop her from being kind and a bit of a hopeless romantic. She fell in love with her caretaker/butler, an earth pony named Bud Mooncake.

It was a miracle to have given birth to a child during those days of early Canterlot(Way before it was even called Canterlot!), having your child die during birth wasn’t uncommon, that first child was Celestia Mooncake; though her last name was rarely used because of Bud’s difference in nobility and race, he was unknown to the public, something that angered Dayspring. Her family had been trying to force her into marrying another unicorn to maintain face.

When she had heard of the new found land, Equestria; Dayspring, Bud and their child, ventured through the snow filled land for a new life. During this journey, a weak Dayspring gave birth to her last child, Luna Mooncake.

Bud, unable to leave his lover behind, entrusted his child Celestia to take care of Luna and continue the journey to Equestria with all their belongings. And sadly, that was the last time Celestia saw her parents again. Passing away due to the elements.

At first, Celestia hated her sister, and was going to leave her out in the snow. But after hearing her sister cry out for warmth, she couldn’t bring herself to leave her.

Celestia and her little sister arrived in Equestria cold, hungry and lost.