Some people link trich to anxiety, stress or dealing with past trauma. While this is true for some, it is not for all. Others have no idea what started it - I have random memories of being 2 or 3 and pulling hair out to line up along a pattern on the carpet.
For some, there could be a trigger early in life that starts them pulling their hair out. I used to have thick, long hair. When at a hairdresser at age 8ish, I was told I was so lucky my hair was so thick, because I had a mole on my head. This made me curious, so I started pulling in order to find it. This may well have got the ball rolling for me. (End note - years later, when the trich forced me to shave my head, no mole! Flipping hairdresser!!)
I've heard of others starting when told that blowing an eyelash was magic, or things to that extent.
Often trich starts in childhood, so having triggers might make sense. But there must be an underlying predisposition to pull already there. My guess would be genetics, since some have more than one case of trich in their families.