Moogles first appeared in Final Fantasy III.
As for where they came from, I think they are like most creatures/monsters in the games and are just native to their respective planets.
Or maybe they are like Clefairy and came from the moon. Since the monsters in Final Fantasy VIII come from the moon (I haven't played it in a while and the story is fading in my mind, then moogles may have come from the moon as well.)
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