I had successfully drubbed that song from my brain until today. I rue my choice to look at the comments for this sentence.
I guess it depends on what comes after dove. In this case it is veng'ono', thus d'a'.
I was about to ask the same question. Maybe this is only "where do they come from" in the immediate sense - that is "where are they from" could be asking about their nationality, for example, whereas, "where are they coming from" would be asking where they were immediately before here.
i am totally speculating, though. :/
What about "From whence do they come?" I can see why they wouldn't require that, but it's not wrong, is it?
"Whence" already contains the idea of "from", so it is actually wrong to say that, even though "whence" is a great word. "From where..." or "Whence..." is what you want. And if you use "whence" you want to stick "sire" in there somewhere too.
It is correct, but extremely old-fashioned. No one would speak that way, unless they were deliberately trying to sound archaic.