In the original opening you see these shadowy demon things encased in rainbow crystals corresponding with each Sailor Senshi. Then we find out Queen serenity ruled the moon. Then we find out that Serena is Serenity and she's from the future. And that there are other scouts including her own daughter. Plus you have Pluto and her time travelling with no explanation, a talking flying unicorn. Sailor Saturn who everyone is sure can destroy the universe despite never having done so because3, hey it's still here.
Where the heck do Sailor Scouts come from?
my personal theory is they're monsters just like the ones they fight, but better looking.