Thinking again, it's true. How come Cadence became Twilight's sitter? Twilight became Celestia's student after getting her cutie mark. But since they were both living in Canterlot, Cadence was probably sitting other foals too.
They said it was Princess Celestia's niece. She couldn't be a princess if her parents were simple aristocrats. She'd become one if she was marrying a prince. Not the case.
As for how she could be Celestia's niece, it's as questionable as how come we never heard of her before and Twilight's brother. And it could be a love story beginning by Shining Armor becoming Cadence's personal guardian and them becoming closer with time.