ETs may do better.
Almost certainly outside, based on the apparent sterility of other worlds around old sol, although they may have bases witin our solar system or on earth, maybe under the sea--which may have fostered the idea of an Earthly origin.
There have been sightings of glowing objects near Aristarchus on the moon. But of course nobody can see them come from an extrasolar planet, since we don't yet have the means to detect, let alone scrutinize, earthsized extrasolar planets.
Inasmuch as their technology seems far ahead of ours...not a bad asumption.
Honestly, had some other intelligence evolved here, there would be some indication of it in the fossil record. Moreover any more advanced earthly intelligence probably would've taken over the planet for itself, long ago.
There is absolutely no evidence they come from different planets near us or further away. We can go on claiming they are from outer space all we want, but the fact is they are seen mostly here on this planet. This is our starting point. Now we do not know, what UFOs are, who are the pilots? and we have no clue to where these UFOs are coming from zero evidence.
It not a bad assumption like you said... why do you always, say ETH?... We have zero evidence of space flight, other then we see strange craft in the sky, which to the onlooker and observe means oh my god we have nothing like that in technology. That to me does not mean the origins must be ETH.
These Craft could be from anywhere so one theory is not better than another, but like i said the craft are observed now, here only, so maybe their true origins are here on this planet? It hard to believe i agree since we have no evidence for a race of beings like the ones in UFO lore.
If we had not found fossils from dinosaurs would we believed such creatures living on this planet, was even possible or believable?
As for evidence left, we have myths and legends of ancient societies in the past destroyed by some event. If we look at the earths history, Asteroid hits from above... Many ice ages.. Climate events in the past, which have changed the outlook of the earth over and over again. Any advanced race would have serious problems dealing with unseen events.
If they where living above ground the impact on their society from these events would be severe even wipe out. Where would you go, to avoid most of these type of events.. in my opinion, the sea, underground, somewhere else space?, if you are advanced enough that is.... Very little would remain of a society in a extinction type event.
Modern human history in the written form is less than thousand of years, so anything before 6,000 years or a little later is open to debate. If it is ETH.. we must ask...How long are they here, when did they arrive? every theory must ask these questions really. If they are here since the dawn of time, you have to assume, they might have lived on the planet long ago before the dawning of Man in it's earliest form.