One of the thoughts I had while watching the series is that, if we take the series literally in this manner, one could speculate that the world they originate from is also somewhat supernatural like the world of the Haibane, and that the Haibane never died in their original world, but for some reason simply disappeared from it and reappeared in the cocoons.
It is possible, though it seems unlikely to me, that Guri (or whatever its called) is actually somewhere in the world they came from, in which case this idea becomes more plausible IMO.
The series required that not too much explanation be given, both in narrative terms in order to avoid becoming bogged down in the details of the world, and in plot terms because the purpose of becoming a Haibane could only be fulfilled when kept 'safe' from the outside world.
Of course, the lack of information given also allows the structure of the world to mirror the way our real lives function, in that we enter a world we do not fully understand, and people leave it to go we know not where, while at the same time being a story about something beyond our lives as we know them. Which is neat.
Thus concludes my rambling thoughts.
tl;dr: blah blah blah