"Aryn?" Dust didn't hear a response in the home. He didn't seem to be around. Radia was tight-lipped and Eridan was missing as well, as per the norm that he'd go with his daddy.
... something didn't seem right. He knew Aryn had gone somewhere Dust wouldn't want him to be. Aryn would always be honest unless something like that came u--... Gaius. Gaius' recent capture, about a month ago. Dust also knew that a trial had happened, but the details were fuzzy, and he didn't know of how Gaius was being treated as a POW.
He was about to find out. His cape being tossed on, his newly forged blade clipped to his hip, and he was out the door to the Moonblood village.
He wanted answers. And he had a feeling Aryn was the one to have them.
My thought process was that Elysium is actually the continent that Falana is situated in. Elder Gray Eyes in the beginning states that Dust: An Elysian Tail is actually, ya know, "the greatest of Elysian tales". And the place is called Falana. So there's that, too.
Finally, Gaius, during the entire damn game, is literally worried sick and desperate to have Cassius back. In private, he even sorrowfully mumbles, "Why are you hiding from me, my friend...?" And during the entire fight, he's screaming for Cassius, even going so far as to shove himself away from Dust in pure sorrow (he actually has tears in his eyes if you look close enough) when he finds out that Cassius is gone forever to him. They were close.
So, the full headcanon, with that in mind, goes as such:
Gaius and Cassius were both recruits within the army of some sort of government official. I mean, an army like that just doesn't come from anywhere. They were all quite friendly with each other, but the country they lived in had a... sketchy relationship with the Moonbloods. Relations weren't up to par in many people's eyes, and because of the severe differences both races had, many people within the country believed them to be something of an impurity, hence Gaius' thought process in-game.
However, pre-game, I believe he and Cassius didn't have much of a bias against them. They were happy together as friends, drinking pals, and sparring partners. Gaius would always dominate the field thanks to Cassius allowing him to win, and Cassius would always have an ear to vent his frustrations to thanks to only being able to really confide in Gaius for help.
Both had a very pleasant relation with the king/leader of the country as well. Considering one became general, and one was an army conquering assassin, I'm sure they knew the leader personally. It'd simply make sense to me. Hell. It's even possible that one of them was the leader's son, making the next part of the headcanon that much more potent. In fact, with how refined Cassius is, I'm almost tempted to say it was him. His love of tea, his calm, stoic and proper attitude.
Well, say the Moonbloods got fed up with their less-than-savory treatment. Evidence suggests that they're quite eager to fight their oppression in-game, so why not pre-game as well? This time, their numbers were much, much higher, though. And they posed much more of a threat with their "way of the flameless light" schtick. And they managed to overthrow the leader with heavy losses. Gaius and Cassius fought back, immediately shifting to the Warmblood side of hating Moonbloods as an impurity. Their leader was dead! How dare they!
The Moonbloods ended up suffering greatly, just as badly as the leader's army, and they fled to Falana, where they met quite a bit of help. Another way to state that the Moonbloods, and therefore Gaius and Cassius, were not from Falana is Sereth's line as you first meet him: "I'm unfamiliar with what this land deems of value. I'm... not from around here, as I'm sure you've guessed by now."
Cassius was hit the hardest through this. Saying the leader was his father/mother would more than likely help mold him into the merciless killing machine he was before the game's main plot unfolded. Gaius, being his best friend, would be there to comfort him, and with Gaius' help, finally managed to function normally once more. Thanks to that, Cassius ended up offering his undying loyalty, and Gaius took it hands down, using the death of their leader to help rebuild his army, sparking the hearts of his country's citizens. After a few months of recruiting and training his army while developing new machines and weapons through what the Moonbloods left behind when they fled, he ending up hitting the Blackmoor Mountains quite hard when he found out they fled to Falana, setting the game's events into motion.