Where did all the sand in the desert come from?

Sand always comes from the erosion of rocks (mostly quartz). In inland areas, this can be caused by many forces, including streams, freezing and thawing cycles, glaciation, wind, etc.

Once the particle size has been reduced to the point that wind can carry it, each particle can travel hundreds, even thousands of miles. It will keep being picked up and put down by wind currents. Large accumulations of sand will occur in areas where the air velocity right at the ground surface tends to be low, basin areas for example. So you get large masses of sand in low-lying areas downwind from areas of active erosion, or at the bases of plateaus. And once a large amount of sand has accumulated, all that sand will cause even more drag on the wind velocity at the surface, making even more sand end its journey there. There’s also a reduced tendency for the grains to bounce off of the sandy surface (an action called “saltation”), which helps them stay put.

Some, if not all, deserts were once part of the ocean. The Sahara, for example, was once completely underwater something like 150 million years ago.