Where does “чьи” come from?

чьи (Old East Slavic) comes from Proto-Slavic čьjь, from Proto-Balto-Slavic *kijas.

Ancestry of “чьи”, step by step

Step	Language	Word	Meaning
1	Proto-Slavic	čьjь	whose
2	Proto-Balto-Slavic	*kijas	—