don't expect czech and english to handle the direction of motion the same. czech is more invested in the means of motion, english in the direction. also, "přijdou" is a red herring because it is the future tense.
"From where are they coming?" should be acceptable, if the "standard" right answer is "Where are they coming from?"
Yes, "From where are they coming?" is absolutely grammatically correct and may be an accepted answer by now. Technically, "Where are they coming from?" is grammatically INCORRECT, in light of the rule that says a sentence shouldn't end with a preposition. However...
I don't think you'd hear many people actually saying "From where are they coming?" and the bias against a preposition ending a sentence may be well on its way to disappearing by now. (Sigh.)
"From where are they coming" sounds odd, but "They are coming from where?" sounds ok with the emphasis on "where" to express astonishment. "The most fashionable dresses come from Detroit.". "They come from where?"