Just because it hasn't been mentioned doesn't mean it's not canon. As far as I know nothing has been shown to refute that either. Someone can correct me if I'm wrong.
Alright then, I believe that Mario and Luigi were born in China by the stork corporation and sent to Italy, at a young age where they spent most of their childhood, after losing his parents in a terrible car accident he and Luigi were sent to live with their Uncle in Japan, where they were relentlessly bullied by their cousin Wario, and just as the brothers were about to enter high school Lakitu delivered them an invitation to the Royal school of Plumbing a boarding school based in the Mushroom kingdom...Wario didn't get a letter because he lacked the skill set.
The brothers learnt tons of plumbing skills even defeating the evil that must not be named in the great Mushroom kingdom war. After graduation Mario moved to New Donk city and started dating Pauline when suddenly her ex-boyfriend Donkey Kong came and kidnapped her. Mario did save her but he was a changed man and raged war against the Kongs leaving to the great ape wars where hundred of Kongs died in the hands of Mario.
Luigi had to snap Mario out of it where they duel it out in New Donk sewers, after realising what he had become Mario was stricken with remorse and begged forgiveness, so he and Luigi moved to the Mushroom Kingdom and got their first gig fixing Peach's clogged pipes when suddenly Bowser came and kidnapped her, Mario wanting to prove to himself that he is a good man set out to save her.
And you can't say it isn't cannon just because it hasn't been mention as nothing refute that. ;p
Seriously though I don't really care where Mario is from or care about the "Mario canon".