Theists would say that God didn't "come from" anywhere.
What does that mean?
Time and space didn't exist until God created them. Since God existed before time and space, the concepts don't really apply to Him.
It means that God didn't come from anywhere. To come from a place implies both space, and time. Any theist will tell you God created both. It is hard for humans to comprehend of any entity which does not require a beginning. That is no reason to assume such an entity cannot "exist" for lack of a better word.