This female warrior may come from somewhere in Greece, but she is of Pelasgian rather than Hellenic ethnic descent. In classical Greek traditions, the Pelasgians were the people who lived in the Aegean area prior to the immigration of proper Hellenic-speakers. Their exact identity remains mysterious, but some scholars doubt that they even spoke any kind of Indo-European language, let alone Hellenic. At any rate several (but not all) Greek authors identified them as ethnically "barbarian" (i.e. non-Hellenic). However, they were not necessarily one unified civilization but rather a hold-all category for various pre-Hellenic inhabitants in the region. Given that, perhaps African colonists from across the Mediterranean. Of course the majority of Hellenic Greeks would have probably looked "Mediterranean Caucasian" like Spaniards or Syrians by contrast.
Incidentally, other Greek mythology does mention Egyptians settling in Greece in distant antiquity, but I haven't heard of any archaeological evidence in favor of this claim.