Learn Portuguese (Portugal): Eu venho de Lisboa.

Venho actually comes from a different irregular verb: vir (to come). Since going and coming are opposite motions, they are often learned together. For the verb ir, "I go" is vou. For vir, "I come" is venho.

Why is it de Lisboa and not da Lisboa?

The word de means "from". In Portuguese, most countries and regions require "the" (which combines with de to make do or da). However, most cities, including Lisboa, do not use "the". Therefore, the preposition stays as simply de.

Is the word Eu mandatory here?

No, it is optional. Because the verb form venho is only ever used for "I", the listener already knows who you are talking about. You will often hear Portuguese speakers just say Venho de Lisboa.

How do I pronounce the nh in venho?

The nh letter combination in Portuguese sounds very much like the "ni" in the English word "onion" or the "ny" in "canyon".