Here's one possible scenario: Fluttershy's father was born into the Hooffield or McColt family. He as a young adult moved to Cloudsdale and married Fluttershy's mother (a Pegasus native to Cloudsdale). Fluttershy's brother was born first, and Fluttershy herself was born two or three years later.
When Fluttershy's brother was a teenager, his (and Flutershy's) parents divorced, with Fluttershy's father and brother moving to Hooffield/McColt country, while Fluttershy stayed back in Cloudsdale with her mother.
It has been reported that Twilight Sparkle and Fluttershy will appear in the upcoming "Hooffields and McColts" episode.