For some reason I thought the Koopa Paratroopa's wings were the result of some kind of magic spell or effect (like from a Super Leaf or Cape Feather or something), but looking for a specific reference to it I haven't been able to find one. I've tried various Google searches to no avail. I also looked through old instruction manuals where I thought I originally saw something to that effect.
The closest thing I found was a small section referencing Koopa magic in the Super Mario Bros. instruction booklet: "the Koopa, a tribe of turtles famous for their black magic."
I checked out Legends of Localization's translations which gave me a little more information but not what I was looking for. A search on YouTube found me this video about Koopa Troopas which didn't cover where the wings came from just when they first appeared.
The closest information as to wing origins I found was a segment in Peach-Hime Kyushutsu Dai Sakusen! where a Koopa Paratroopa is bringing food to babies that appear to be greenish birds but might be implied to be baby Paratroopas. It's not much to go on, and probably not canon.
I'm falling back on the power of the internet and diverse knowledge of SE users for a superior working collective knowledge of Mario Bros. lore. Can anyone give me any reference or example of where or how Koopa Paratroopa's get their wings? I'd especially appreciate examples from in game text or dialog, but I'll take whatever I can get at this point.