Honestly, I'm just like you when it comes to that haha. Most of my creatures are commissions anyway so their owners make their stories, but I've never even had an OC really, but I think I may have just made one recently that I will post maybe.
So no, I do not have any good advice on that part. Art is art, whether it has a background story or not. Most of mine I feel is not all my imagination, but a sort of depiction of spirits/beings from another dimension that were already there.