How did the ancient Egyptians know it came from the sky?
They probably see it. Let's make up a story without any proof that it's real:
In some place in the countryside, they see a light moving in the sky and a not very far explosion. (The ones that see a nearby explosion are dead.) Imagine something like the meteorite at Russia a few years ago. (From the videos it looks like a nice show if it doesn't land on your head.)
The local governor/priest/whatever heard about it and send a crew to the site, let's say 5-10 persons. They found some molten glass and a strange metal stone, that is like bronze but has a weird color.
They share the story for generations, if you are lucky someone they wrote an inform for the pharaoh. Everyone think they are nuts, but a they have this weird stone.
Wait a few centuries, and repeat this a few times, and now you have a collection of weird stones and/or the weapons/tools made with them, and they share a similar story. So the story is not long so weird.
Anyway, the knife made with the stone is better than the usual knives, and it has a nice story, so someone send it to the pharaoh.
All of that is pure speculation on my part, but it'd be really interesting to find out how far off my guess is.