No, you shouldn't. "Which way did you come?" means "Which route did you take?" If you want to use "from" at the end, you need to say either "Where did you come from?" or "Which direction did you come from?" Neither of those mean the same as your original question.
How can they look identical? One uses "way" and the other uses "direction". They are clearly not identical. Take care with how you use words. If you mean "I think their meanings are identical", that's what you should say.