But no way you can tell where they are from without any form of ID on them.... yes they do look like pygmies.
Just get them eartagged as soon as possible, and it would be best to keep them separate from any sheep you have and not let them onto any grazing that your sheep are using at the moment.
If they are eating out of your hand they must be quite tame, it may have been a case of getting into too much trouble for their previous owner, so best to make sure they learn how to behave with you from day one.