1. What game is that from?
2. Which game is that from?
To my mind, #2 would be more likely in reference to a particular selection of games. For instance, if you had three boxed games on the table, and your friend found a dropped piece from a game on the floor, he might say "Which game is this from?".
#1 would be more likely in a general query – i.e. in reference to all possible games.
But that's only the more likely context, in my opinion, in each case: either might be used in either context.
All the best,
Student or Learner