I think that Abby was spot on:
"P.S. If you talk to him in all seriousness, you may find that he did propose, but then got cold feet."
If I got myself all cleaned up and was trying to surprise "Unengaged" and got the response "I got a little teary-eyed and asked where it came from." I think that I would reply in the same manner . . . what difference does it make where it came from? I put a ring on your finger! Oh. Okay. Just kidding. You care more about where the ring came from than what it symbolizes? Never mind!
I hope the couple talked things through and are now officially engaged.
POD. That was exactly what I was thinking. I think both of them handled it in a not-great way, and I hope that they worked it out. I know that when my DF proposed, he was really worried that I would say no. Why, I don't know... but sometimes anxiety over a huge life-changing moment happens.
Perhaps I'm naive, but I'm thinking more that asking where it came from was a "What's this? A ring? Where did this impulse come from? What do you mean? Are you asking me to marry you? WHat's going on?" sort of thing.
My first thought was that maybe the ring didn't look exactly like a brand new "engagement ring" and she might have thought it was originally his mother's or grandmother's or something of that nature. That there was some reason for her to think that he didn't go to a store and buy it, but instead was giving her something with more sentimental meaning. But I agree with you also. It makes sense that she could have been asking about where the impulse to ask came from, rather than the ring itself. Lots of possibilities there.
In any case, I think it was a terrible thing for him to do.
ETA: Also, it might have looked so unique that even if he did buy it right then, it obviously didn't come from a standard store. So her question was really "Where on earth did you manage to find something so nice?". But I doubt that the ring would have been that special looking considering it was a prank. But it's another possibility of why somebody might ask where the ring came from.