In "The Raven," at first the speaker of the poem believes that the raven has come from where?
At first, the speaker is "beguiled" into smiling and then he asks the raven, "Tell me what thy lordly name is on the Night's Plutonian Shore!" The raven will not respond other than to say "Nevermore." Pluto, also known as Hades in classical mythology, was the ruler of the underworld. When the speaker asks the raven what his name is on the Plutonian Shore, he's asking what his name is in Hell, as if he comes from Hell. There is no indication that the speaker is serious or playful (he was smiling) when he asks the raven if it is from hell. After all, up to this point, the bird has not spoken, so it is just a random bird flying through the window.
Also, upon hearing the raven's response, the speaker assumes that the raven's name is "Nevermore." One could conclude that the speaker might think that the raven responded to his question, saying that his name in Hell (the Plutonian Shore) is Nevermore. And therefore, the speaker might think the raven is from Hell.
The speaker also thinks that, even if the bird is not from Hell, this experience is otherworldly. He says, "For we cannot help agreeing that no sublunary being / Ever yet was blessed with seeing bird above his chamber door -" (51-52). That is, no Earthly (sublunary, beneath the moon) mortal has seen a bird speaking in his chamber. At this point, the speaker does think that either the bird is supernatural (from Hell or otherwise) or he is having a supernatural experience.