Does bourbon have to come from Kentucky?

Bourbon is defined by federal regulation (27 CFR § 5.143), not by geography. To be labeled bourbon, a spirit has to be made in the United States from a mash of at least 51% corn, distilled to no more than 160 proof, entered into new charred oak containers at no more than 125 proof, and bottled at 80 proof or higher with nothing added. Nowhere in that standard does it say where in the United States.

Kentucky produces roughly 95% of the world's bourbon supply, which is where the association comes from; but bourbon is made commercially in Texas, New York, Colorado, Indiana, Tennessee, and plenty of other states.

Kentucky Straight Bourbon is a separate, narrower claim: it means the whiskey was both distilled and aged in Kentucky for at least a year, on top of meeting every requirement of Straight Bourbon. A bottle can be excellent bourbon without ever qualifying for that specific label.