When I was young, we were instructed that statements should not end with any preposition:
Where does that come from ?
would be incorrect. Rather:
From where does that come?
That "rule" does not seem enforced currently.
Where does that come from?
Seems OK today.
Where you going?
Is a popular expression. It probably came about as some would say:
Where you going to?
and catch the Devil for putting "to" at the end. While chastised for the preposition that was so obvious at the end, correction for an incomplete present progressive was forgotten. Properly, at least at one time, the question would read:
To where are you going?
The are and to seem to have fallen to ellipsis Dictionary.com
Where does that come?
will probably confuse a reader, as it is not common usage. Best to say:
From where does that come?
or
Where does that come from?
as both seem acceptable today.