Wikipedia says:
He has arrived as a stowaway coming from "Deepest Darkest Peru", sent by his Aunt Lucy (one of his only known relatives, aside from an Uncle Pastuzo who gave Paddington his hat), who has gone to live in the Home for Retired Bears in Lima. He claims, "I came all the way in a lifeboat, and ate marmalade. Bears like marmalade." He tells them that no one can understand his Peruvian name, so the Browns decide to call him Paddington after the railway station in which he was found.