This reminds me of when I got my second career/office job, people would ask "where are you coming from?" and it was soo long before I realized they meant "what was your previous job?" not "where were you born (and why don't you live there), and what part of town do you live in?"
In saying that though, I'm not actually confident in either interpretation being correct, because sometimes they'd just ask where I was from (omitting "coming")
It can be even more confusing if you're visibly or otherwise noticeably not White/Anglo, so then you're wondering if they're asking about your racial or ethnic ancestry.