'WHERE', part of speech

[Edison_Chen_e_c]

how should I say,

1.I don't know where he is going.
2.I don't know where he is going to.
3.I don't know where he comes from. (from 'where does he come from')
4.I don't know where he comes. (from 'where does he come from')
5.If I want to know one's nationality, it must be 'Where do you come from', then 'where' here is an 'pron', can it be a 'pron'?

[Yankee]

[Mister Micawber]

.
These are OK:

1.I don't know where he is going.
2.I don't know where he is going to. (Some grammarians don't like this dangling preposition, though)
3.I don't know where he comes from.

5. The American Heritage Dictionary lists 'where' as a and adverb in this use (ADVERB: 1. At or in what place: 'Where is the telephone?' 2. In what situation or position: 'Where would we be without your help?' 3. From what place or source: 'Where did you get this idea?'. However, it lists 'where' as a noun in a slightly different structure (NOUN: 2. What place, source, or cause: Where are you from?)

You might also be interested in the AHD's usage note:

When 'where' is used to refer to a point of origin, the preposition 'from' is required: 'Where did she come from?' 'From where I sit, the situation looks bleak'. When it is used to refer to a destination, the preposition 'to' is generally superfluous: 'Where is she going?' (rather than 'Where is she going to'?) 'The place where they are going is beautiful'. When it is used to refer to the location of a person, event, or structure, the use of 'at' is widely regarded as regional or colloquial: 'Where is the station?' (not Where is the station at?')
.
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Native English teacher at Mister Micawber's

[Edison_Chen_e_c]

[Lost_Soul]

I know that we can say "I'm going home" (without "to")
But "I'm going to school (to the cinema, to work)" (with "to")

English is weird ...