Headcanons, you say?
Well, here's my headcanon: Flim and Flam were part of the Apple family, maybe in Appleoosa (hence the apple mark to begin with), but their mother was a unicorn. Without Earth Pony strength, they couldn't keep up with their cousins and they couldn't farm, and some of their cousins made fun of them for that.
To get back at their cousins, together they planned an elaborate scam or scheme involving their quick wits; they succeeded together, and then received their cutie marks, which represent their teamwork and how one fills in for the other's failures. Encouraged by their success, they continued with their scams and manipulation - they were unstoppable together, and they couldn't be kept apart, so eventually they were kicked out of Appleoosa and have been con ponies ever since.
But their marks don't have anything to do with their scams. They're just about their teamwork.