I strongly believe that Supreme Leader Snoke was actually… a Royal Shadow Guard.
He clearly was force-sensitive, but the Empire didn’t really like force-sensitive people so he either must have flown under the radar, or been part of the Empire. He was an incredibly intelligent and manipulative person, but not a ridiculously powerful force-user (although he did make himself out to be one).
My theory is that after the Empire’s downfall, while most Royal- and Shadowguards killed themselves or flew into a rampage trying to avenge Palpatine, the more cunning ones went into hiding. From there, Snoke spun his intricate net of navigators that eventually led the Empire’s officers to him, and resulted in the creation of the First Order.
Royal Shadow Guards were the most powerful fighters in the Empire, save for actual Sith, and it is highly likely that one of them could become quite adept in the ways of the dark side by studying the arcane for years.
My theory also goes with the spirit of The Last Jedi; that being that Snoke was essentially a nobody whose whole purpose was to drive the plot of Kylo Ren becoming a Sith Lord, and what better character to serve that purpose than a nameless, faceless but incredibly powerful, force-sensitive fighter in the Imperial forces?
(Original post was made on Reddit: https://www.reddit.com/r/StarWarsTheories/comments/9udqhs/supreme_leader_snoke_really_was/)