They have a verbal history! The first Queen banished their people after they lost a civil war, tens of thousands of years ago. The exact specifities of how that banishment happened aren't really too clear -- they know that their people were cast out and appeared on land, and they had to tunnel their way to find water plenty enough to house them. But none of the mermen currently there were alive at the time of the initial uprising; they simply know what happened due to legends and stories.