Technically, you should never end a sentence with a preposition (in this case, "from"). Instead you should work "from whom" into the sentence.
Also, "she got" are not necessary. It is obvious she got a message.
From whom did she say the message was? (technically correct, but awkward)
However, nowadays, almost nobody sticks to the technically correct grammar. It sounds a little stuffy. So you could say:
Who did she say the message was from? (much more natural nowadays)