He's from another Fox Universe that was never made, the Original plan of that movie was that instead of The Void they were all supposed to be in something called "Development Hell" which where Almost all of the Fox Characters were set when their films flopped.

I mean Channing Tatum’s Gambit was supposed to be a part of the Fox universe however that movie never happened so it got scrapped

So in reality he takes place in another reality alongside other scrapped projects like Magneto, X-Force, Alpha Flight, Exiles, X-23, Multiple Man and Kitty Pryde

Heck even Gambit made fun of his movie being scrapped

The character wasn't actually born in the Void. It's just a joke since Tatum's Gambit film was never actually made. We don't know where he's from (and neither does he apparently).

Me still hoping for a Live action Gambit movie 🎥 🍿 ❤️