There are many theories that I take into mind, including my own. Some say Xur is from a different dimension/alternate reality. While i've never looked into this, it goes back to the theories on what the big picture is for Destiny's storyline. Obviously, he is an Agent of the Nine. And although nobody has actually seen one of the Nine, there are many speculations that they are the Nine warminds (Assuming there was a warmind for every planet and pluto was included). Now i'm not sure why he would serve AI's, but that must be a part of the bigger picture as well. His appearance to me is the opposite of what an Awoken is. Instead of being extremely pale, his very skin seems to be consumed by darkness. What does this mean, you ask? I'm not sure anyone knows, but if you hang around him long enough, you will hear him talk of very strange things. Xur is indeed one of the most mysterious figures in Destiny so far.