No, originally no one thought about aliens.
Main proof lies in this out-of-story answer regarding "Highlander II":
[...] a documentary following the film has the filmmakers explain why the original theatrical release contradicted the first film. According to them, inflation in Argentina had gotten so bad during filming that the film's insurance company started to take creative control, and made a film they thought would make the most money.
Proofs from in-story:
When in first movie Mcleod asks Ramirez about the whole immortality business, Ramirez admits ignorance.
Connor MacLeod: Tell me how'd it happen for God's sake.
Ramirez: Why does the sun come up? Or are the stars just pin holes in the curtain of night, who knows? What I do know is that because you were born different, men will fear you... try to drive you away like the people of your village.
while in "Highlander II" they know it:
Louise Marcus: Okay, now let me just see if I can get this straight. You come from another planet, and you're mortal there, but you're immortal here until you kill all the guys from there who have come here... and then you're mortal here... unless you go back there, or some more guys from there came here, in which case you become immortal here... again.
Conner MacLeod: Something like that.
Also in "Highlander II" Ramirez and McLeod arrive at the same time, while in the first part of the movie Ramirez is almost 2500 years old.
Ramirez: MacLeod, I was born 2,437 years ago. In that time, I've had three wives. The last was Shikiko, a Japanese princess.
Of course it is possible that if origins from "Highlander II" are true, they could land in different year and have their memories wiped and replaced by something more "native". But that doesn't answer your question.