The character is a powerful sorceress who lives in the magical land of Oz, not in the real-world state of Kansas. The story follows Dorothy Gale, a young girl who is swept away from Kansas by a tornado and lands in Oz.
It's a common misconception to think the Wicked Witch is from Kansas. It might be because she is a threat to Dorothy, who is from Kansas, or because the story begins in Kansas before Dorothy travels to Oz.