I believe Cadance’s parents died; possibly due to king Sombra.

actually its stated that cadance became an alicorn like twilight

@Battle GT
 
Still accept that idea over the current BS of “Alicorn Ascension” where a pony transcends from unicorn, earth, or pegasi into a creature that embodies all three.
 
With Blue Blood, I just envision him as some royally spoiled brat who was orphaned, and Celestia took pity on him. She “adopted” him in a sense with the little snot being babied by the castle attendants which turned him into a royal D-Bag.

Even anything Lauren Faust claims has a visible probability of being jossed by canon.

Rainbow Dude read more carefully for the full context
 
 
“She does not have parents that outrank her. I brought the weirdness of that situation to my bosses, but it did not seem to be a continuity concern to them, so I’m letting it alone. I always wanted her to be the highest authority, and so she remains so. And I certainly don’t want marriage to be what would escalate her.”
 
Basically she has no parents that outrank her in terms of ruling equestria.

Lauren Faust said Celestia and Luna have no parents: http://comments.deviantart.com/4/1603670/1791456540  
Perhaps… All alicorns have no parents?  
Then where the hell do they come from?!

Since Faust left and her explanation seemed a bit off, I choose to believe Blueblood is family through marriage/complicated adoption process.

This >>16614 is a possibility