Hmm... I wondered at the etymology if Jepang was a loan word from English, as it is closer to the English word Japan than to the Japanese word Nihon. According to Wikipedia though it's actually the other way around, The English word Japan is borrowed from the old Malay word, which is listed as japun or japang. It's amazing how much I learn about English when studying other languages.
You come from Japan should be accepted; it's normal English usage in Australia.