Nodding. Wrex is welcome to do that if he wants for Turvey (deep gnome), Jimjar (deep gnome), Shuushar (kuo-toa), or Stool (myconid sproutling), though I'm also all for him creating a brand new character, something entirely his own. What Yavathol alludes to, Wrex, are the four NPCs who escaped the drow outpost with the party. Everyone started off this game as a prisoner of the drow at an outpost in the Underdark. There were other NPCs who were also imprisoned along with the party, but those individuals died during the escape (or were slain by the party several days after the escape).
One good resource for ideas might be to check out the OotA bonds on page 1 of this thread. No doubt there are some leads there. I'm also absolutely open to Wrex weaving his own reason why his character is in the Underdark. That's actually my preference.