Similarly to The Terrible Secret of Animal Crossing, a weird eldritch artifact turned everyone into animals.
Only earlier. Much, much earlier, dating back to the Russian Civil War. Hell, there are a lot of hints - the Chapaev movie, the museum in one episode, the fairy tales. Rasputin's doing, maybe?- Considering that the Chapaev movie would have been made after Rasputin was long dead, perhaps there was an accident with one of the soviet's experiments that turned the world into animals.
- In Russia the most popular theory is that the humans perished in some calamity, and the uplifted animals inherited the infrastructure and culture.
Volk is openly bisexual and is a large contributing factor to why he tends to be a loner.
While the average passer by would be unaware, his family and friends keep their distance because of the stigma, which is why he's almost always on his own. A lot of his flamboyancy and flouncy body language is him playing things up for the sake of sticking it to society and having fun with who he is.