My counter-counter question is how did the creature of a not incorporated race get to where the adventure is?
That is why we have to establish their backstory--how did they get there? It usually isn't hard, but explains their presence.
My counter-counter question is why a being from a nation with no contact or knowledge to this on is allowed to walk around unescorted in a late medieval setting?
Who says that individual doesn't? Remember, PCs are supposed to be unique among their kind, and often their stories explain why. Maybe the PC was captured (and escaped) or became lost, maybe it was some magical vortex or strange natural phenomenon?
So, my "counter-counter-counter question" to you is why aren't they allowed if their story supports it?
Why is the only tigerman on the continent able to just walk around slaying villians?
Maybe he hides his appearance like drow, etc. often do. Maybe when the PCs go into the town, he stays outside in the wilderness watching their camp site? Who says he just walks around?
OR like I said with my setting, because the idea of the animal-nation is known, maybe he is able to "just walk around" but people treat him with awe, suspicion, or something else. Maybe the town guard has him trailed to make sure he isn't up to something, or maybe the mayor invites him to dine with the town council to meet such a unique individual and learn about his culture?
My point is there are all sorts of way to make this work--without needing every race to be even remotely established in every setting.
I think I've made my point, whether you can appreciate it or not. Others have offered good explanations as well, so I'm done discussing it with you. Have a pleasant Thanksgiving and stay safe.
