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Bambi's Mother faked her death.

• She realized that having Bambi become overdependant on her would be detrimental to him growing up to become the next Prince of the forest, so she abandoned Bambi at just the right time, knowing that the Great Prince would find him and care for him—in fact, her abandoning of Bambi may have been a Batman Gambit to get the Great Prince to break out of being The Stoic and actually care for someone, like he did when she and him cared for each other in the past before they drifted apart.

Thumper's Father abandoned his family/went missing.

• While he was still with them around the day when Bambi met Faline, his father abandoned them or went missing at one point, which explains why he is never seen on screen, and why his mother keeps mentioning his sayings.

Thumper's Sister died/went missing during the winter.

• Which would explain why only four of Thumper's sisters are present in the midquel.

Bambi and Faline aren't cousins after all.

• Could be "Aunt Ena" is just a very good friend of Bambi's mother and the title was honorary.