"Where are they from?"
Translation:Di dove sono?
This is just a gut reaction, but I have this strong sense that Italian expects to hear a verb after dove, thus phrases like dov'è, dove sono, dove siamo, etc. Since Di dove sono is ambiguous (is it sono io/loro?), to clarify the ambiguity, you add loro - but maintaining the dove [verb] with Di dove sono loro. That was my answer, and Duo accepted it.