Its never stated where the Courier is from, yes you were working for the Mojave express but that could have been your first job in the area. You could have done Courier work for years all over California, you got a job that took you to Primm and from Primm you got the fateful job that left you in a shallow grave. A few things are hinted at such as having been to New Reno, as know one knows you one can assume your not from Mojave but only recently arrived, the rest can simply be explained as head injury excuse for players who are new to the game.
Obsidian intentional made the Courier a blank slate, the story of New Vegas is how these various faction do battle for control. Mr. House, NCR, the legion etc. Your roll as the character is deciding who of any of them win. In this situation a blank slate character works fine, you don't need a history because it doesn't matter. If Mr. House was your ancestor, or if you lived in Nipton before the legion burned it out it be a different game.
For Fallout 3 the weird part was how everyone knew I was from the Vault yet I wasn't wearing vault clothing (ie Moira somehow knew despite the fact I wasn't wearing my vault suit)
Ok other then Moria Who knew you were from the Vault? as I recall most people don't mention your vault heritage, Lucas Simms will only mention you being from a vault if you greet him wearing a vault suit. Moriarty actually recognize you, Three-Dog and Dr, Li all recognize you do to knowing James. But fresh from a vault you probably have certain things that are noticeable,[pipboy aside], the look in your eye, the way you walk and talk, the fact you appear to have bathed recently which is probably uncommon when most water is irradiated. Your whole life was inside that vault, "i've never seen the wasteland before" would probably be written all over your face