I might be missing the joke, but it mostly comes from burning rocks (coal), shining sunlight on rocks, water flowing downhill or wind/gas/steam spinning metal.

With the exception of photovoltaic cells, all the other ways we generate electricity ultimately generate the electricity by spinning a dynamo - directly for hydro and wind, and through boiling water to steam for fossil, most solar plants (which use mirrors to heat water in pipes), nuclear, geothermal. Not sure if fusion would generate the electricity directly or also heat up water to spin up some magnets.

Fusion uses the extreme heat generated by the fusion reaction to... boil some water and run it through a turbine.

All of those energy sources are then somehow converted into spinning rocks (magnets) really fast to convert them into electricity though.

All but one of them, though PV is quantum magic and rather more mind-bending for most people than non-euclidian geometry was for Lovecraft.

Electricity comes from spinning loadstones (magnets).

Big generators in power stations typically use field coils (electromagnets), not permanent magnets.