The short answer is the region of Campania in southwestern Italy. Naples is the capital of that region, and sflogliatelle have been enjoyed there for at least several centuries. The Pintauro pastry shop in Naples says they invented sfogliatelle in the year 1785, indeed they’ve gone so far as to inscribe the claim on their building’s outside wall. However there is some debate as to whether the founder of the shop, one Pasquale Pintauro, wasn’t a better marketer than he was a baker, and whether instead of inventing sflogliatelle as he said, simply created a knockoff of a preparation that had been made for decades by nuns at the Santa Rosa convent in the nearby town of Conca dei Marini.
That may or may not be true, however I should also point out that some truly devoted sflogliatelle-o-philes believe that the nuns themselves knocked off the recipe, and that the first true sflogliatelle were in fact invented decades before — around the year 1700 — at the Croce di Lucca monastery in Naples proper.
We’ll never know for sure who pilfered what from whom. Any of those explanations could conceivably be correct, since laminating techniques — whether folding or rolling — were all the rage at the time, having arrived (probably) by way of the Arabs through Spain. That would certainly explain why Murcian meat pies and Italian sfogliatelle share the same technique.