Where do Equestria's Alicorns come from? In the case of Twilight Sparkle and Princess Cadance, they were "upgraded" from ordinary ponies to Alicorns by Princess Celestia using magic.

Princess Celestia and her sister Princess Luna were born as Alicorns, born as "unicorns with wings" or as "pegasi with horns."

Since virtually all Alicorns featured in My Little Pony Friendship is Magic are female, I presume a male Alicorn is an oxymoron, a virtual impossibility.

It is very possible that the mother of Celestia and Luna was an Alicorn herself.

I presume that Celestia and Luna had both unicorn and Pegasus ponies as ancestors. That would explain why the same ponies can fly with wings AND perform magic with horns on their foreheads.