Some belive he was simply thought into existence. Others belive that he is from a distant and maddening plane of existance.
A common theory involves the story of Schwarzwald. Back in the early 1800's, a village near the Black Forest in Germany used the forest as a way to kill their criminal. the officials of the town would hang the criminals by the limbs of the trees, which would grow rapidly. After a while, they would stretch out, and die. Every once in a while the town would burn portions of the forest down in order to prevent overgrowth, which proved difficult due to the growth rate of the folliage.
This leads to our main Tulpa theory (thought into Existence); as the story goes, this became something of a folktale, or a nursery rhyme told to the children of the town, and surounding areas. The story involves a man who commited an unspeakable crime, and was sentenced to death in Schwarzwald for his actions. Shortly before his death, and after he had been hanging for many days, the town burned the forest down. The story claims that the fires were somehow enchanted, and granted him escape from death, and as payment for his crimes, he was forced to live as a disfigured man, face burned off by the searing flames.
The tulpa theory comes into play when the children who were told this story essentially thought him into existence. Now, the story about the fire being enchanted is false, but the children didn't know that, or even care.