There have been a coupe different “orphan stories” we’ve seen in the comics. Natasha’s parents were actually seen to be still alive in one of her very first appearances, where the evil Soviet government was holding them hostage to make sure Natasha did what they wanted.
Khruschev: And so, I took the liberty of bringing your parents here! If you have no fear for yourself, surely you don’t want the state to treat them as the parents of a… traitor!
Natasha: Mother! Father! Oh no!
Of course, Natasha defected anyway, and we never saw these parents again. So I guess they were executed for her betrayal? Whoops!
Paul Cornell later tried to reconcile this with the later developments of Natasha being orphaned and found by Ivan and then trained at the Red Room by explaining these parents were just actors who Natasha was brainwashed into thinking were her parents. So that’s always a possibility I guess.
Anyway, my grandfather grew up in an orphanage despite having living parents— his family was just so poor they couldn’t afford to raise him, so that’s certainly a possibility. There’s also comic precedent for the Red Room girls not all being orphans raised by the state. Yelena’s mom was still alive in Black Widow: Breakdown.
Voicemail: Yelena, it’s your mother. Where have you been? We’ve been worried about you… why haven’t you called your aunt Olga?
Natasha’s stories have never been very interested in her parents. She’s never been motivated to avenge her dead parents, like Batman, or to discover the truth of her unknown heritage, like every fantasy protagonist ever. Being an orphan is just kind of her natural starting place. So, that’s kinda weird.
Personally welcome the vagueness in Natasha’s backstory because it allows me to imagine a version of her origin that I like better than the one I expect Marvel would come up with. But I agree, it doesn’t really seem like they have a good idea of what they’re keeping vague.
Panels from Tales of Suspence #64 and Black Widow: Breakdown #3.