It comes from the scene where Hercules is being tutored by Philoctetes. Phil is frustrated with Hercules' lack of understanding of the importance of his heritage, and he says:
"You're the son of Zeus, but you're about as bright as a burnt-out bulb! You know you're the son of Zeus, but you don't even know *why* you're the son of Zeus! You're like one of those guys who goes to the Oracle at Delphi and says 'Hey Oracle, can you tell me who my father is?' and the Oracle says 'You're the son of Zeus.' You're like 'Wow, okay. What does that mean?'"
This is a direct reference to the Greek myth of Oedipus, who famously visited the Oracle at Delphi to find out his fate and learn that he would kill his father and marry his mother. Oedipus, like Hercules, was unaware of his true parentage and the implications it had on his life.