I suddenly had this thought out of nowhere, so I'm making an account here to get it off my chest.
Let's look at the family members of the Main 6 + CMC, and see what we find.
Unicorns:
Twilight Sparkle: Twilight has a mother and father, the former named in merchandise (Twilight Velvet), though admittedly neither have a voice or characterization. Twilight also has a brother, Shining Armor, and a sister-in-law, Cadance, who are both full-fledged characters.
Rarity: Rarity has a mother and a father, both with distinct appearances and characterization, although no names. Her sister, Sweetie Belle, is a main character.
Sweetie Belle: She's Rarity's sister, and she obviously has a mother and father as well due to that.
Earth ponies:
Pinkie Pie: She has a mother and a father, both with voices and implied characterizations. She also has two sisters, although neither have spoken. All of Pinkie's family members are nameless, which seems to be a common theme in this show.
Applejack: No parents, but she does have a grandmother, a brother, and a sister, and all of them are major characters in the series. On top of that, there's also Braeburn, Applejack's cousin, along with the rest of the huge-if-vague Apple family.
Apple Bloom: Applejack's sister, so shares the same family (along with the same odd lack of parents).
Pegasi:
Rainbow Dash: None.
Fluttershy: None.
Scootaloo: None.
...
We have a problem here.
Apparently pegasi don't have families.
Theories welcome, because I have no idea what's going on here. Maybe pegasi are like birds and lay eggs instead of birthing children, and enough pegasi misplaced their eggs often enough that at one point the government decided to collect all the eggs and keep them safe until they hatched. And then some idiot lost the tags that identified which eggs belonged with which parents. So now we have an entire generation of family-less pegasi.
...
It's possible.