Where does it come from?: nowhere.
Is this use of colon okay?
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Sign up to join this communityYes, This is a not very common form of writing a rhetorical question.
Note how "nowhere" is not capitalized, this is because it does not start a new sentence. The colon is here is used to join the two parts of the sentence and indicate that the question mark does not indicate an actual question and that the answer is not a separate statement.