Character creation guidelines:
One of your parents was a member of Famous Adventuring Party X, that defeated Great Menace A. Famous Adventuring Party X, along with your parent, disappeared when you were very young. You were left in the care of your other parent. When you got old enough you received a letter held in trust for you from your long-lost parent – it told you that you must meet those who would share your destiny on the first day of the year (next) at the Famous Adventurer Tavern. They’d all be wearing red hats. You should wear one too.
The others, of course, are the children of the other members of Party X.
There was no Party X, really. It was all one guy – a shapechanger (doppleganger, changeling, wizard with Shapechange, whatever). That one guy did in fact defeat Great Menace A. Maybe he had a party with him at the time and didn’t want to admit he was the only survivor. (Alternately, that one guy was Great Menace A, defeated the party, and replaced them.) In any case, he would come into towns as different members of Party X… and, well, had some kids with a bunch of different people (and may have switched genders for some of them). The PCs – who may all be of different races – are actually siblings, though they don’t know it.
As they set off to look for their lost parents, perhaps the truth will come out…