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My understanding is that there is no history of when or how the halflings first appeared on Golarion. What about them? do they have any lore about their early days?
I am (For my own amusement) writing a story. and I have an old Halfling telling stories passed down about the Halflings meeting other major ancestries for the first time, they taught the humans to farm. They gave food and crops to the orcs who had ventured to them scouting for food, they taught elves to Make wine (which they won't argue the Elves have done very well, even arguably better) the taught the Dwarves to enjoy the soft (causing the dwarven word for a bed with a mattress to this day to be derived from the dwarven word for halfling), and with the Goblins they found unity in their loose concept of ownership and property (everything is for the community). They pride themselves in that they survive, by trusting in their neighbors. It does not always work (this Halfling was smuggled out of Cheliax by the Bellflower Network), but they will never let the world take that from them.
There is definitely history about halflings and it is usually specific to the location, so origin stories will also probably vary by region. This is a starting point and you can look into any of the many sources that were cited.
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Myths that I have halflings (some perhaps as pranks?) espouse are;
Halflings are not native to Golarion. They came from Desna's realm of Cynosure, and have integrated as best they can, but remember that they are but living lightly upon this world, which is not their own. (Usually said to tweak the noses of elves or gnomes, going on about their magical home worlds or dimensions or whatever.)
Halflings are the descendants of foolish Chelish diabolists who, ages past, sought to gain 'the devil's own luck' but unwisely promising 'half of their people' to Asmodeus (intending that he take unwanted souls they were sacrificing for this deal). He took literally half of *their bodies* in payment, instead of all of the intended sacrifices, but, yes, did in fact make them luckier. Chelaxians hate halflings because they are reminders of the foolishness of making deals with Hell.
Halflings are the original Varisians, who open-heartedly allowed desperate or outcast or rootless humans to join their caravans, until, many centuries later, most 'Varisian' caravans don't even have any halfling members, and most people have no idea that the original human 'Varisians' were in fact adopted into the Varisian halfling culture!
There is a hidden halfling enclave, somewhere. Perhaps even an entire nation, tucked away in some extradimensional space, or on some terribly conveniently hard-to-verify location (my girlfriend lives in Canada, really!), like in Arcadia or Sarusan or Casmaron. In some versions of the tale, this land is lost, and the halflings of Golarion can no longer find their way there.
Various historical or mythically potent or significant figures were really halflings. Nex. Old Mage Jatembe. Norgorber...
Various *current* rulers of distant (and thus, unverifiable) lands are halflings, and halflings are dominant there. Vudra sometimes gets this legend, but it is most often Kelesh, oddly, with the 'high sultan/a' said to be a halfling, attended by an entire court of halflings in a low-ceilinged palace where the taller races have to crawl to seek an audience!
Other leaders or rulers or prominent figures, closer to home, rumored to secretly be halflings. The Pactmasters of Katapesh. Artokus Kirran of Thuvia. Razmir. High Prophet Kelldor.
Norgorber is the only example of an adventuring party passing the Test of the Starstone. The Reaper of Reputation was a halfling Bard. Grayfingers a halfling Alchemist. The Grey Master, a halfling Rogue. The Skinsaw Man, a halfling Barbarian. Upon completing their grand heist, they found that they could not actually *steal* the Starstone, and that they could not become four new gods, but instead had to *share* godhood, as Norgorber, the four-faced and faceless god of secrets.
I don't think there is a canon known origin for Halflings, but their ancestral heartland seems to be central Avistan, around about where the Thassilonian Empire used to be, from which they radiated over the last 10,000 years. The ancestral Halfling ethnic group has returned to Golarion with the establishment of New Thassilon, furthering the connection. Whatever stock they came from seems to have come from there. Were there prehistoric halflings living alongside ancient Kellids, like Cro Magnons living alongside Flores Hobbits? Did the Thassilonians breed Halflings from human stock as a slave race while they were also enslaving the local giants, one for menial tasks and the other for brute force heavy labour? Did the Algolthu beat Thassilon to it, trying to engineer a replacement species for the Azlanti before abandoning the project? At this point, I don't think anyone would know except the gods, and they evidently aren't telling. As a people Halflings don't even (yet) even have a name for themselves as an ancestry distinct from humans or dwarves or elves. Was it taken from them by one human occupying power or another (Thassilon, the Taldan Empire and Cheliax being the big ones) or did they deliberately forget it?
I think most Halflings aren't especially interested in the "real" origin, but have a hundred different stories, and especially stories that explain how they put down roots in the area. Halflings were created by Grandmother Spider to personify her trickster spirit. Halflings are the children of Desna, and inherited her wanderlust. Halflings started as naughty human children who ran away from their parents and never grew up. Halflings were the dutiful servants of Ptah who taught them craft the same way Thoth taught humans language and mathematics. The First Halfling was brother of the First Dwarf and the First Human, the First Human was too afraid to jump the First Chasm and so founded the First City, the First Dwarf fell in and was squashed and stunted and carved the First Cave, but the First Halfling sacrificed his height to make up the distance and invented the long jump, remaining "Free." Halflings are actually giant-kin, and their True Name was locked away by Thassilonian wizards to stop them returning to their true forms and crushing the humans who enslaved them. Every clan and tribe would have its own story, and none of them are "true" but contain many Truths.
As a DM, my headcanon origin is the first one I suggested, that Halflings are simply an offshoot of human that have been around for millions of years ago, what you'd have ended up with if the Flores Hobbits lasted long enough to invent civilisation and meet Homo sapiens. Archaeological evidence is hard to find simply because smaller bones are more brittle and less likely to preserve, and the things they made get mixed up with Human archaeology and are hard to tell apart from something made on child-scale. That might even be a fascinating character and plot kernel, a halfling archaeologist who's discovered that Avistan's paleo-history is entirely wrong and is being denounced by colleagues whose careers are staked in a human-supremacist narrative so is looking for evidence, and hires adventurers to escort him into the Varisian badlands to find it.
So,in the PF1e book 'Inner Sea Races' (which came out in 2015), notes that many scholars speculate that halflings originally migrated from Arcadia (where they can still be found in great numbers to this day).
A second theory put forward by the book is that they were created by Azlanti magician-scientists - the similarity between Azlanti and the halfling language being cited as the reason for this.