Once upon a time, a little filly got blasted with a giant friendship laser beam.
Yeah, little weird when you just lay it out like that, but just go with it.
This little filly was Cozy Glow. Not that she knew it at the time, mind you; in fact, knowing things about herself and her past was something she was just generally doing very poorly, right then.
It seems that the rainbow laser didn't have the expected, desired effect of de-powering and potentially incapacitating her, but instead stripped the little filly of her memories. That's the sort of side-effect you should generally vigorously interrogate your doctor about before taking your medicine, but Cozy was just a risk-taker like that.
Not that she had any choice in the matter.
And so, dazed, utterly confused, yet still possessing extraordinary magical power, our little filly stumbled away from the blast with one, simple thought:
Holy smokes, there's a bunch of wizards over there trying to kill me with rainbow lasers! I need to get out of here!
And just like that, totally oblivious to the true nature of the conflict, the filly instinctively tapped into her recently-acquired magical power and vanished, teleporting quite some distance from the skirmish. It was not lost on the heroes of Equestria that one of their adversaries had just seemingly shrugged off the powers of harmony – they could hardly see the intellectual damage they had wrought – and fled, but they were too concerned with wrapping up the battle to immediately give chase.
Besides which, Cozy had teleported smack into the middle of the Everfree Forest of all places, so it's not like they would have found her easily. And so it was that our would-be heroine (ish) found herself alone, confused, and terrified in an unfamiliar, dangerous environment. So begins the bizarre tale of Cozy Glow the Hero (ish).