Within any Site Audit report, above the table where the URLs are listed, you will see "Manage columns". Click on this to see the list of columns you can add/remove from the results table. On the widget that pops up, expand "Meta information" and check the box next to "Source". This will add the column to your results table to know exactly where we found the URL (Website, Sitemap, Backlinks).
See these steps depicted below:
If a URL was reported due to having backlinks (or an incoming canonical reference from another page), it means that this URL was pulled from the Backlinks report in the Site Explorer tool. Hence, you can place the URL in the Site Explorer and head over to the Backlinks report to see the referring page(s).
We will only report pages we know to have backlinks; if in your settings, you've checked/enabled the URL source - "Backlinks". This instructs us to start crawling from URLs we know (from our database) to have external links.
If a URL was found in the Sitemap (even though you did not specify a sitemap in your project set-up/settings), it is because you have enabled "Auto-detect sitemaps".