They are coming from the Combine Overworld, which can be seen in the final part of Half-Life 2. You just need to look up at that portal Breen is trying to get to open to escape. You might see it. It's that red thing with all the Citadels.
edit: The trans-human sect of the combine (the soldiers, not the striders hunters gunships dropships or synths) are created from the finest human personel that where either captured during the seven hour war, or had been drafted by breen. they may have also chosen to. They where then processed at one of the stations (one being nova prospekt) and shipped off to duty. The soldiers are given varying levels of implants.