I've got a few planar characters myself. A night spirit from the plane of night, a day spirit from the plane of eternal sunlight/daytime, an angel from one of the MANY heavenly planes.... I also have a Murkling character who's from somewhere nearby the shadow plane. And others too I'm sure, some I haven't posted yet to the site. There are even drow about too, so there's bound to be an Underdark lurking somewhere below the SOTE earth.
Although, planes of existence as far as I know, aren't "canon" per se, but that doesn't mean they can't be included for your character's backstory.