Theory: Mario & Luigi were Born in the Mushroom Kingdom

Mario and Luigi were born in the Mushroom Kingdom and later moved to New Donk City.

Arguments

 * Argument 1: We see in the ending of Yoshi’s Island that the Stork delivers Mario and Luigi to their parents the Mushroom Kingdom. The Nintendo Switch Online description for Yoshi’s Island states that Mario and Luigi were born in the Mushroom Kingdom! The manual for Partners in Time also states that Mario and Luigi’s Homeland is the Mushroom Kingdom.


 * Argument 2: Nintendo has stated during interviews for Mario Odyssey he is a native born son of the Mushroom Kingdom.


 * Argument 3: Donkey Kong (Gameboy) has Mario adventuring across various landscapes from Big City to the Mushroom Kingdom. This game shows that not only did Mario live in New Donk City (Big City being one and the same as New Donk City), but also that it shares the same world as the Mushroom Kingdom and he returns their at the end of the adventure.


 * Argument 4: One of Pauline’s quiz questions has an answer for “captured by an ape” which confirms New Donk city being the setting for Donkey Kong Arcade. To support this, at the beginning of the New Donk City Festival, a New Donker says that the festival is in honor of the city’s beginnings.