I would like to know more of Klonoa's past but the earliest I know of is DtP or in another theory maybe heroes but it will be a bit before I let my self fully know the story of Klonoa Heros.
I had one theory wondering if the wind ring was literally a part of him in some senses at one point.
Or If it is from whatever his waking world is then perhaps it is partially what allows him to dream travel.
There is also the Ring showing up on a table in the endings of Lunatea's Veil and Door to Phantomile to think about.
Hmm I remember some interesting images in the wind kingdom ruins depicting a Klonoa or a Klonoa like figure. I wonder how they predicted his arrival or was he summoned. They may not have much to do with the wind ring but I feel there might be some small connection at least.
Almost Literally Klonoa came through a door xD I thinkClick on the image for a bigger version
It was changed in the wii make