They are originally from Antarctica and only end up in the zoo in the USA, however this only occurs in the Pinguins of Madagascar, which came out after the original Madagascar, so their origin story could have been thought up differently by the writers of the Madagascar movie than how it happened in the Pinguins of Madagascar movie
The WSL part was just a joke, but I do sometimes test apps on waydroid as I am using an IPhone currently and I want to switch, so for that I try apps on waydroid so I can easily replace IOS exclusive apps when I make the switch.