It comes from the mains. Two parallel conductors separated by insulation forms a capacitor. A capacitor will block DC current, but with AC power, some current can "leak" through. In a two or three-way switched system, there will be two switched live conductors running in the same cable, and this cable run can be several metres.
The leakage current is far too small to light a normal lamp, but the electronics driving the low energy lamp stores this power up until there's enough to strike the lamp.