Physicists have a tendency to talk about space as if it were a physical fabric you can touch. But space is not a thing, it’s a mathematical construct. So space doesn’t have to come from anywhere because it isn’t an object.
However there is an energy associated with spacetime geometry, and it seems reasonable to ask where this energy is coming from in an expanding universe. The answer is that energy is not conserved in an expanding universe so the energy doesn’t have to come from anywhere, it can just appear.
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