Where does the speaker believe the raven comes from?
The speaker does not know with utter certainty the raven's origin, but he assumes, initially, that the raven cannot possibly be from some 'Nightly shore' as he states in stanza eight:
“...thou,” I said, “art sure no craven,
Ghastly grim and ancient Raven wandering from the Nightly shore— ...”
The origin of the raven is ambiguously revealed when the narrator suggests that it comes "wandering from the Nightly Shore" and asks why its name is on the "Night's Plutonian Shore." Some scholars believe that the "Nightly Shore" was a Biblical allusion referring to when Noah released a raven in hopes of finding dry land after the flood. If this is the case, the raven's origins are in a remote, vast sea. Others believe that Poe is referencing the rivers of Styx and Acheron located in the underworld according to Greek mythology. This theory coincides with the next piece of evidence that alludes to the Roman god of the underworld, Pluto. Poe's imagery suggests that the raven comes from a dark, vast location where water is present. Although the raven's origins are ambiguous, the reader can infer that the raven either comes from Hell or a vast unknown sea.
It seems that the speaker thinks that the raven has come to him from the land of the dead. We can see this in the places where he refers to the bird coming from "Night's Plutonian shore." This is referring to Pluto, god of the land of the dead.
However, it does not appear to me that he thinks the bird come from Hell, even though he seems to think it might be a devil. He says that both he and the raven adore God. That implies that the bird is not really evil.
This last part is confusing, though, because he also says the bird might be sent by "the tempter" -- Satan. So I think that overall, he is sure the bird is supernatural, but not sure if it is from God or the devil.