Your first character in Death Mesa should be a Consideration—that is, someone who was banished, exiled, or kidnapped into Death Mesa. Maybe you crossed a corporate entity or government organization that wanted to get rid of you. Less likely, but possible, you may have angered a wizard or crawled into an interdimensional space, only to wake up bound and gagged on a train to who knows where. Consideration—as in “…consider yourself lucky we didn’t kill you outright!”
You can find the instructions for building your own Consideration in the Character Creation Document, or pick from a wide array of Prebuilt Archetypes.