Where does the pythagorean identity sin2 θ + cos2 θ = 1 come from? how 
does it relate to right triangles?

I think you meant (sin theta)^2 and (cos theta)^2.

There is an identity stating that (sin theta)^2 + (cos theta)^2 = 1.

Please, don't write "sin2 theta;" it looks too much like sin  2(theta), which is completely different from (sin theta)^2.