They come from seeds.
“Seedless watermelons are grown from seeds that are produced by crossing watermelon lines to produce plants that have an odd number of chromosomes….Because of the odd number of chromosomes, these plants are sterile and do not produce mature seed.”
From the What About Watermelon:
A seedless watermelon is a sterile hybrid which is created by crossing male pollen for a watermelon, containing 22 chromosomes per cell, with a female watermelon flower with 44 chromosomes per cell. When this seeded fruit matures, the small, white seed coats inside contain 33 chromosomes, rendering it sterile and incapable of producing seeds. This is similar to the mule, produced by naturally crossing a horse with a donkey. This process does not involve genetic modification.
Colchicine is used to create tetraploid seeds.