Pi-hole is using only one blocklist for filtering: Gravity.
For speed as well as memory load, Gravity is created by combining all your configured blocklists into a single consolidated blocklist that will contain a domain name only once, even if it appears in mutiple blocklists or multiple times in any one blocklist.
So the source for any domain blocked by a list would always be Gravity.
Also, logging all blocklists a domain name appears on, even if it would be possible, would quickly clog your logs with information you will most likely never look at.
In circumstances where you have to find out which lists do block a certain domain or whether that domain would be blocked at all, that information is easily available via Pi-hole’s Tools | Query Lists.