As everyone here presumably knows, the PJ Masks show is based on a French series of books, which so far have yet to be released outside France.
But on TUMBLR, some guy calling himself Faline-Cat444 uploaded a rough translation of several books, including one that gives the PJ Masks the origin story they so far lack in the show: http://faline-cat444.tumblr.com/post/159238591411/the-legend-of-the-pj-masks
See: http://faline-cat444.tumblr.com/tagged/PJ+Masks/page/4.
Enjoy!