Translation:They know where this money is coming from.
Where does this money come from? This money comes from the bank. I know [where this money comes from _].
When there's a subclause containing what appears to be a question word, but it isnt actually a question, you use the same form as a statement -except- that you move the wh- word forward.
And no, this makes no sense, it's just English at its weirdest.