Who are they from

• I've received some messages recently, I wonder who they are from.

To be from [somewhere/something/someone] = to originate [from/in]

A: I wonder who they are from. = I wonder from whom they are.-> I wonder from whom they originate.
B: They are from PaulQ.

C: I have found some small screws: I wonder what they are from. = I wonder [from] what they originate.
D: They are from the coffee machine.

E: "A new family have moved in next door - they are not Iranian. I wonder where they are from."
F: "They are from Azerbaijan." "They originate from/in Azerbaijan."