The simple answer is that God did not come from anywhere — God is eternal.
For a longer answer, we might look to the Cosmological Argument, which is one of the common arguments for the existence of God:
Premise 1: Everything that has a beginning has a cause.
Premise 2: The universe had a beginning
Conclusion: The universe had a cause
The first premise is almost certainly true — things don’t just appear out of nowhere. The second premise is also true — according to modern scientists, the universe came into being at the Big Bang. So the conclusion must be true, there must be something that caused the universe to come into being.
What sort of thing could have caused the universe to come into being? If it is something that also had a beginning then we would need to find yet another cause to explain how that came into being. However if it is something that is eternal (i.e. has no beginning) then it does not need a cause. Whatever your explanation for the origins of the universe, at some point you need some eternal thing, some uncaused thing, to set everything going.