Yep, I think this sort of simultaneous playing of character and invention of campaign backstory is very common in RPGing. In my experience, for a lot of players it's part and parcel of increasing their immersion in and involvement with their PC - not an obstacle to that at all.
It's pretty explicit in Ashen Stars. The game gives you qualitative writups of playable alien species, and then says that the details of culture or history can be made up by player and GM as you go along. It is like ST:TNG, where we didn't know much about klingons when we first see Worf, and Klingon history is only made canon as it is revealed through that character.