As the title, I’m wanting to play a Gloomstalker in an upcoming Theros campaign, and I don’t know too much about the environment except it’s Greek based. I understand that the Gloomstalkers mostly reside in the underdark, but can also “stalk” dark alleyways and Primeval forests, is there any locale in Theros that could support flavor for a Gloomstalker?

Don't  over think it. Make the character in a way that interests you.

 Some options include Being  born on a magical night (like a star sign from skyrim)or magically evolved abilities due to circumstances (like being trapped under ground  or locked in a damp prison or maze).  maybe they were raised by ghosts, shades or darker fae. 

I believe looking into being nyxborn is theros specific concept that fits. It mentions monsters but nothing says  a pc can't be one also or the offspring of a nyxborn.

Here is an excerpt.

"Whether monsters, manifestations of long-dead mortals, or other beings, Nyxborn creatures share certain characteristics: they resemble ordinary mortal creatures, but any part of their body that isn’t lit by direct light shows the starry gleam of Nyx. Nyxborn creatures typically act as the direct servants of one of the gods, but occasionally they escape from the realm of Nyx and pursue their own goals—which might be as simple as violent rampage, or as complex as a far-reaching plan to break the power of the gods."

Thero’s is based on Greek mythology, so maybe they could be working in the labyrinth of the Minotaur? 

scout of a cult devoted to the settings underworld god ( Hades equivalent) Use an acolyte backstop. Make it a redemption or mission based backstory to tailor to desired alignment.