Where does “Rudra” come from?

Rudra comes from Sanskrit रुद्र, derived from the Sanskrit verbal root रुद्, which traces to Proto-Indo-European HrewdH-.

Ancestry of “Rudra”, step by step

Step	Language	Word	Meaning
1	Sanskrit	रुद्र	crying, howling, roaring, dreadful, terrific,...
2	Sanskrit	रुद्	Class 2; to weep, cry, howl, roar, lament, wail;...
3	Proto-Indo-European	HrewdH-	to weep