Why did we move to this quiet little mountain town?

Right off the get-go in The Stick of Truth, the new kid's parents strongly imply that there is a reason that we moved.

Dad: Son, do you remember why we moved to this quiet little mountain town?
Kid: Blank stare
Dad: He doesn't remember--
Mom: He doesn't remember at all
Dad: That's good, that's good he doesn't remember.

What's behind that exchange?

At the end of the game... (spoilers ahead)

It's revealed that your real name is Dovahkiin, the Dragonborn (obvious reference to Skyrim). You have an inhuman ability to make friends on any social network - before you were 5 years old, you had 3.2 billion friends on Facebook alone. The game's X-Files-like government organization attempted to capture you to use your ability for themselves, but failed, and your family went into hiding.

Though exactly what happened when the government tried to capture you is never explained, it was apparently traumatizing enough that you blocked it from your memory.

Source