While Magi sounds like a Persian word, Kenneth E. Bailey in Jesus through Middle Eastern Eyes: Cultural Studies in the Gospels gave evidence that the Wise Men were for Arabia:
According to Matthew 2, the wise men arrived with gifts of gold, frankincense and myrrh. Rich people usually possess gold, and gold was mined in Arabia. But more specifically, frankincense and myrrh are harvested from trees that only grow in southern Arabia [Yemen = Sheba]. Wealthy dwellers of those desert regions would naturally have gold, frankincense and myrrh. Bailey, K. E. (2008). Jesus through Middle Eastern Eyes: Cultural Studies in the Gospels (p. 52). Downers Grove, IL: IVP Academic.
Dr. Bailey pointed out that Justin Martyr identified the Wise Men as from Arabia:
“The wise men from Arabia came to Bethlehem and worshiped the child and offered to him gifts, gold and frankincense and myrrh.” Justin Martyr. (1963). Selections from Justin Martyr’s Dialogue with Trypho, a Jew. (R. P. C. Hanson, Ed. & Trans.). London: Lutterworth. p. 78.
He also mentioned that Tertullian and Clement of Rome affirmed the same location for the Wise Men (Brown, R. E. (1977). Birth of the Messiah. London: Geoffrey Chapman. pp. 169-70).
The following information was conveyed to Dr. Bailey through a conversation mentioned below in 1957:
In the 1920s a British scholar, E. F. F. Bishop, visited a Bedouin tribe in Jordan. This Muslim tribe bore the Arabic name al-Kokabani. The word kokab means “planet” and al-Kaokabani means “Those who study/follow the planets.” Bishop asked the elders of the tribe why they called themselves by such a name. They replied that it was because their ancestors followed the planets and traveled west to Palestine to show honor to the great prophet Jesus when he was born.
Dr. Bailey gave much more detail, but this answers your question.
Alfred Edersheim has an extensive discussion of this subject in chapter 8: "The Visit and Homage of the Magi, and the Flight into Egypt" (St. Matt. 2:1–18.) in his book, The Life and Times of Jesus the Messiah (Vol. 1, p. 202). New York: Longmans, Green, and Co. (1896). He gave essentially the same answer as Kenneth Bailey with additional information. He linked the Magi as diaspora to southern Arabia from Gentile wise men in Mesopotamia who became Jews by religion because of Daniel.