Playing an Outsider

In a reality where country-sized metal chains connect world-islands, and continent-sized Old Beasts and magical Void Ships journey through the purple clouds, it is entirely possible to play a character from a different world (if your game master agrees to that, of course).
This could mean you have to come up with a lot of character background on your own. What is your character's home? In what kind of culture did they grow up? How and why did they end up in this new world? Are they happy about it, or trying to get back home?
In Ashandri, the obvious choice for an outsider is a Ravager Elf. Legions of these elves marched into the world of Marisha Veilbreaker (twice!), and some of them deserted and decided to stay. If you plan to play such a character, a military background makes sense. You could also be a former agent of Va'Laeth, someone who managed to cross the chain unnoticed. A mission brought you to Ashandri, but either you planned to use it as an escape right from the beginning, or life in the new world convinced you that you never want to go back. Such a character could be a spy or possibly even a sage or thief - depending on the exact mission.
If you only use the Braythe Core Setting, there aren't many details about the world of Va'Laeth and the culture of the Ravager Elves (or any other worlds aside from Ashandri, for that matter). Future releases for patrons will get into more detail here. Alternatively, you can just come up with something on your own. Maybe you make your character's home somewhere remote, where things just happen to be a bit different than elsewhere. This way, if your group later decides to use patron-exclusive content, it's easier to explain differences in culture.
In case you decide to play someone from a completely different place, a world of your own, you should work with your GM on that. Ask your game master what information they will need, how much detail you are supposed to come up with, and what you should leave open for them to add.
Always remember, you're playing a character in your game master's reality. So even if you come up with a completely new world, it's part of the setting your GM creates, and they have a say in - well, everything.

Planar travellers

Depending on your GM's interpretation of Braythe, planar travel to the Braythian world-isles might be possible. There are canonically portals to the plane of fire in the Ashandrian region of the Ember Wastelands, and there might be many others to a variety of different locations hidden somewhere else. Even temporary conduits or teleportation spells could have brought your player character here.
This would allow you to play a PC from a world you know well, and which is already highly detailled. Discuss with your game master if they are fine with this, and if so, come up with a reasonable explanation of how and why exactly your character ended up in Braythe. After that, the same questions come up as for a character from a different world-island within the setting of Braythe.