Why is "did" italicized for emphasis in "Where did you come from?"

Here is a hypothetical conversation where emphasis on did might make sense:

Speaker A: "You look sweaty. Were you working out at the gym?"

Speaker B: "No, I didn't come from the gym."

Speaker A: "Well, where did you come from?"

Speaker A wants to elicit an affirmative statement by that emphasis. The emphasis also expresses annoyance at Speaker B's uninformative negated response.

@Jasper suggests that the emphasis indicates surprise at your sudden appearance; but in my experience that would be indicated by stressing the you ("Where did you come from?").

When the did is stressed, especially if said in an arch voice (or textually in a sarcastic context), it would imply that your behavior is weird, incomprehensible, or just odd.

In that situation, you could extend the sentence by naming a foreign or alien place:

Where did you come from? Mars?

In this case, it is not the location he came from that is important. It is the very act of appearing from somewhere, and that act is represented by the verb did.

In most contexts, putting the stress on did in OP's construction effectively uses that word as a "proxy" for stressing the word where - which would normally imply the speaker is genuinely and intensely interested in knowing where the other person came from. But...

Unless delivered in some (contrived) context where there's no obvious entrance through which the other person could have (just) appeared, it's far more likely to be a rhetorical question. That's not to imply the asker already knows the answer - he probably neither knows nor cares. He's just obliquely referencing wherever you came from scornfully. Probably implying something like....

"They don't teach very good manners wherever you came from"

...or some other snide put-down of your place of origin (effectively, of you).