Who knows? The same place any Pokemon come from, I guess.

[Spookycheeks watches the camera a moment more, then scuttles off Jean's shoulder and disappears.]

They're cool, though. They make that disguise so they look like Pikachus. Spooky laid some eggs awhile ago, and when one was a Mimikyu like her, she made her a disguise so she wouldn't have to hide.