"They are coming from the island."
First of all adadan is not the locative case. It's the ablative case since it has the ending -den/-dan.
Let me share the order to place words in a sentence in a neutral way (the best sounding way without any emphasis on a specific element). There might be exceptions to it but it should usually be like this.
Subject + Subordinate clause + Locative + Accusative + Ablative + Dative + Adverb + Nominative + Verb
It's also true that we put the locative case into the very beginning of the sentence (before the subject) in daily speaking. You might be talking about this but I think it's better to stick with the neutral form in Duolingo unless you want to stress a specific element/information in a sentence.
Adadan onlar geliyor is also correct but they cannot provide every possible sentence order as a correct solution for some reason.