Eh, I like determining who I am and what my motivations are and keeping things open-ended.
The idea of wandering around in my normal life for a while before I got scooped up doesn't appeal to me at all.
Escaping from the nautiloid is prologue enough for me.
It's kind of a part of DND in that you create your own background for your character in Dungeons and Dragons, as well as in many sandbox RPG's in general. For example, the Elder Scrolls series always starts you out as a prisoner, and how Fallout . When you create a character in a D&D campaign, you don't play through your backstory before going into the actual campaign, that stuff is determined by you before you begin playing. You create your character, and give them as much or as little of a history as you want, and then you take over while they're imprisoned on the nautiloid. That's as open-ended as you can get, and anything presented before that only narrows the character's backstory and takes away that choice, or at least complicates justifying how your character got where they are.
Starting off as a prisoner making your escape is the best way to accomplish that, because it's up to you how you got there, and you can shape your character how you like, and make choices based on what your character would do. If they presented more information about your character before that, it would make it much more difficult to justify your decisions throughout the game, or even worse, make you feel like you have to follow a certain path because the game made you believe your character as someone who would prefer one choice over another.