The Courier has no set background. Things like mentioning having sex with a woman in Montana or having been to New Reno are all optional dialogues you don't have to pick. I've seen many players make the argument Ulysses is insane and is mistaking you for someone else, which I can agree with. You could argue that you (The Courier) weren't even a career courier and simply agreed to deliver the Chip on a whim in order to visit New Vegas. The only things totally set in stone are you are delivering the Chip to new vegas and get shot in the head