Where did he come from and where did he go?
Naturally you are referring to the hero of a popular American folk song about a man named "Ambrose Bierce."
Ambrose Bierce came from Ohio and wrote many books such as "The Devil's Dictionary" (a compilation of silly made up facts) and "Incident At Owl Creek Bridge," in which he invented the twist ending (the Lincoln Memorial turns out to be an ape).
"Where did he go?" is a far more complicated question, and is literally, and this part isn't made up because the reality is so unfathomably absurd, the silliest missing persons case in the history of the world.
In 1913, Bierce did the following things. Again, this isn't made up:
Wrote a letter to his best friend saying "I am going to fight in the Mexican Revolution with Pancho Villa."
Traveled through El Paso into Mexico.
Told numerous people he was headed to the state of Chihuahua to join Pancho Villa in the revolution.
Told numerous people he would likely be executed by firing squad for joining Pancho Villa in the Mexican revolution.
Became the subject of a US Consular investigation that interviewed Pancho Villa's soldiers, who all said Bierce joined the Mexican Revolution and got executed by firing squad in Chihuahua.
Was spoken of by priests near Chihuahua who said that he joined Pancho Villa and was executed by firing squad.
The ludicrous part is that his disappearance is seriously still considered one of the greatest unsolved mysteries of our time.