None of these things exist so real life evolutionary biology doesn't really have a place in this discussion, lol. Although you are correct.

Besides, since they are fictional you could just come up with some reason. Dolphins for instance have no legs, but still have the vestiges of them in the form of very small unconnected bones where their legs would be. They also have a dorsal fin on their backside and tiny little arms. So it stands to reason that, conceivably, wings could have evolved separately in a similar (note 'a similar' not 'the same') way to a dolphin's dorsal fin.

You could jump from this concept (marrying real world evolutionary biology and fiction) and explain orc, trolls, etc.. as ape descended life much the same as humans. Maybe merfolk evolved in the same way animals in the cetacea infraorder evolved from otter-like creatures. Maybe they have small unconnected bones for legs in much the same way that dolphins do.

There is a story in this, I can feel it.