"America" should have a capital A. Other than that, it is grammatically correct.
But I don't think that's what you want to say. The question,
Why does he have to be from America?
means that you know that he is from America (that is, America is his home), and you want him to be from somewhere else. That kind of question is often used when someone is sad that a person is from somewhere else because they want to have a romantic relationship with that person. But a native English speaker might be able to figure out that is not what you really mean...
Just like me: I don't think that's what you mean. It sounds like you don't understand why the caption says "He must have returned from America" and you want to understand.
In that case, you could ask,
Why do you think he returned from America?
Keep in mind that it could be a joke. In that case, you could simply say,
I don't get it.
Which means you don't understand the joke, and maybe someone will explain for you.