Well, here's one reasonably plausible story I heard:
Many years ago, maybe late 1800s or early 1900s, a Spanish cargo ship arrived in America with a load of Australian Merino sheep. There were some dogs on the boat, Spanish dogs, and through assumptions made by those on shore or maybe language translation difficulties, the dogs were mistaken for Australian sheep dogs and thus, the breed was started, existing only in America.
I don't know if that's absolutely true but, as I say, it sounds plausible.