Theory: Waluigi is a Persona

Abstract
Waluigi is a persona he made up to gain relevance in the Mushroom Kingdom.

Wario & Waluigi do not appear to be brothers. Their names shouldn’t both have to parallel the names of the Mario Bros., yet Waluigi still has the name he does. This theory explains why this is the case.

Arguments

 * Argument 1: Wario and Waluigi don’t appear to have been born as evil twins of Mario and Luigi, as Mario, Luigi and Wario are all star children (as seen in Yoshi's Island DS) but Waluigi isn't, so his birth circumstances do not match Wario's like the Mario's and Luigi's do.


 * Argument 2: Mario, Luigi and Wario each wear hats that have the first letter of their respective names, but Waluigi's hat does not have the first letter of his name, instead it's an upside down L. One may argue the universe is literally conspiring to make Wario and Waluigi rivals to the Mario and Luigi, but if that's the case then why isn't Waluigi a star child like Luigi is when Wario gets the same treatment as Mario? It’s likely that Waluigi himself was responsible for making the hat. Along with his hat, his apparel in general seems to be purposely trying to be designed as being a parallel to Luigi's a lot more so than Wario. The colouring of his overalls are similar right down to including a shade of blue (a really dark one) yellow buttons and his letter fits completely in the white area. Not only that but in Mario Kart: Double Dash!! his kart is the only one to copy the design of a kart that isn't his partner's (instead he appears to copy Mario & Luigi’s).
 * Argument 3: Waluigi’s clothes appear to be made out of cheaper materials than those of Mario, Luigi, and even Wario. For example, unlike Mario & Luigi who have their letter emblems stitched into their hats, Waluigi’s letter emblem is a sticker, one which is shown to even slightly peel in some renders. This indicates that it’s a cheap attempt to create a hat in a similar fashion to those worn by Mario and Luigi.


 * Argument 4: Descriptions from various games explain elements of both Wario and Waluigi's pasts. It is stated that Wario knew Mario and Luigi when they were children, however Waluigi had been watching Mario and Luigi from the shadows and studying them until he shows up declaring himself to be Luigi's rival when no one seems to know who he is.


 * Argument 5: Recent character descriptions of Waluigi state he only thinks he is Luigi's rival while Wario's position as Mario's rival has never been questioned. In fact, the long confusion over whether or not Wario and Waluigi are related may even be due to what Waluigi has been telling the press to make himself out as important. There's the possibility a lot of details about the Mario characters may come from rumours around the Mushroom Kingdom.

Conclusion
Waluigi made up his name and his role as Luigi's rival to get himself into all of the Mario sports events and when Wario needed a partner, that was his chance to make his debut and start his campaign to overtake the Mario Brothers in popularity.