I wouldn't even say that in English.
I'd use a simple tense, not a continuous tense: "The last place I came from / will come from is Austria."
Or say something like "We are currently travelling from Austria to Belgium."
I can't think of a situation where I would say "I am coming from Austria."
"comes" is used when the subject is third person singular -- when it is "he" or "she" or "it" or a singular noun (e.g. "the man" or "Paul").
"come" is used when the subject is something else -- "I" or "you" or "we" or "they" or a plural noun (e.g. "three women" or "Sandra and Mary").
Is we are from Australia is wrong translation in english
Yes, it's wrong.
Österreich is Austria, not Australia.
Austria is in Europe. Think Danube, Mozart, Alps.
Australia is halfway around the globe, by New Zealand, with kangaroos.
Two completely different countries, with unfortunately similar names in English.
There's no rule.
Some cities and countries have different names (exonyms) in other languages, others do not.
It depends partly on how "famous" the place is and how much contact speakers of that country have had with it -- places with more contact are more likely to have a specific German or English name than more remote or newer places.