My theory is simply this; at some point either just before or after you defeat the Big Sister you learn that she is in fact your daughter. Let me elaborate. Many of Rapture's families were heart-broken by the taking of their daughters for use in the Little Sister program. During this time you were the father of one of these girls that was taken away. Instead of falling into despair and suicide (the Lutz family) your character decided to take a more active approach into finding out what happened to his daughter. Hearing something about a program called fail-safe armored escorts and how it is somehow connected to the Little Sister program he decides to volunteer. You have no idea that being a volunteer means that you'll be turned into a mindless monster. During the transformation process all your memories of your life are wiped clean.