Well... they don't. It's not show canon anyway. Hence why I said fans of the show came up with the idea that Lyra wants to be a human. Or that she's the only pony who believes in humans.rofl
I think the theory comes from the fact that she "sits like a human" in one episode, and is seen holding things in a way that she really shouldn't be able to (granted all of the ponies seem to be able to pic things up with their hooves for some reason).
Everyone's imaginations went wild from that, I guess.
Example, part of my current desktop background:
I believe she's the first pony we ever see sitting like that, but almost everyone else sits like that at some point after.