Urd headcanons (one mention of a detail from a KHML trailer):
Urd is an only child, adopted into a family that are in charge of imports and exports in Scala. This is how and why she becomes fascinated by other worlds.
She is distantly related to Freya, though she is not aware of this, nor who that is, nor what happened to her original family.
As a child, she usually keeps to herself, preferring to let the other kids play while she observes, studies, daydreams. The other kids consider her a bit strange, though they aren't particularly mean to her or anything; they simply don't notice her usually.
Her parents are distant and busy. She gets the impression that her adoption was an obligation to them. Scala is a dyng society after all.
She usually returns home from school alone. Makes herself dinner, does chores, goes to bed. She is self-sufficient, though lonely.
Her parents employ Keyblade wielders who couldn't pass the Mark. They fly their Keyblade gliders to other worlds to trade, transporting essential materials that Scala cannot supply for itself. These Keyblade gliders are specially designed for storing large amounts of items. Of course only those who passed the mark are allowed to travel freely, so these Keyblade wielders are accompanied by at least one person who has.
One such person got to know Urd quite well when she was a child. They were quite striking with their Keyblade armor and long ponytail that emerged from their helmet. They had noticed Urd didn't receive much attention from her parents and made sure to entertain and play with her whenever they happened to be around. They'd bring her souveniers from other worlds: toys, candy, all sorts of things. They'd pay for it all themself, not seeking compensation whatsoever. They'd tell her exciting stories about their adventures. Urd's fascination with other worlds only grew because of these souveniers and stories.
One day, however, they simply weren't around anymore. When Urd asked her parents where they went, she learned that they had died during one of their trips.
Her parents relayed this to her in a matter-of-fact way. People who go to other worlds frequently, they tend to disappear. Accidents eventually happen. It's inevitable.
It occurs to Urd that if she disappeared one day, her parents would probably react the same way.
Still, she hopes to go to other worlds one day. She knows that Keyblade wielding is the only way. She's not sure whether to be grateful or disappointed when her parents instantly agree to let her attend the Keyblade school, not even questioning the potential danger of it all.
When she attends, she finally makes friends.
Eraqus in particular reminds her of the Keyblade wielder who would bring her gifts, play with her, tell her stories. She hopes she can be friends with him, too.
She makes an attempt, at least. Eraqus already has a best friend. She envies that. Urd tries to mimic that friendship, hoping to be Eraqus' best friend, too.
If she can't be Eraqus' best friend, at least she'll be able to travel the worlds soon. Meet more people. Experience more things. Maybe she'll find what she's searching for that way.
She knew that traveling was dangerous, and that she might meet the same fate as that Keyblade wielder one day. She just didn't realize how soon.