Sonic Boom

[Goemar]

As Echidnas (yes that is what Knuckles is) are only found in Australia and New Guinea he'd have to be from one or the other (if he was from Earth and not a floating island around Mobius/Earth [I actually have no idea where the smeg Sonic is meant to be set now days]) and as he wears an Australian hat in Sonic the Movie I'm going to go with Australian.

Also... how the hell does Knuckles remind you of Earthworm Jim? Like I get they both have a large upper body but well, wha? I mean - ah - nevermind.