"How come the baby is dirty?"
Translation:Mbona mtoto ni mchafu?
Yep. It means "Why is the baby dirty?"
"How come..." is a bit informal and can only be used to ask about a cause in the past of the action in question. ("What ... for?" can be used to ask about a goal in the future. "Why" can be used for both.)
If you've never seen "How come" before, I can understand your confusion! It's a weird sentence if you consider the words individually.
The tips and notes rather misleadingly say
Mbona? How come? (stronger meaning than ‘why?’)
I can see why they want to use a different term than "why" for translating mbona, but I'm in agreement with you that "how come" is a bit informal.
So I could argue the English translation, while indeed correct English, hasn't the right tone. Mbona is "why", just more emphatic than kwa nini.