The fanfic could show their parents as travelers from a far - off land. They brought with them new kinds of magic that they passed on to their daughters. Maybe there was a family feud among the alicorns, and Celestia and Luna's parents had to make difficult choices to keep their family safe. This would add drama and intrigue to the story. It could also explore how Celestia and Luna's personalities were shaped by their parents' actions and decisions.
Perhaps their parents were part of a group of celestial beings. They had to leave Celestia and Luna at a young age to fulfill some important mission. Celestia and Luna then had to grow up quickly and learn to rule on their own. The fanfic could be about Celestia and Luna's journey to find their parents and the secrets they discover along the way. It could also show how their parents' absence affected their relationship with each other and with their subjects.