I'm going to say no, probably not, although that is an interesting idea.
No, they're native to earth. Rowling has confirmed that when large numbers collect in especially dark, miserable, and damp places, new dementors simply grow, like a fungus.
It is likely they are classified as spirits, rather than beings, since they do not appear to be truly alive.
Dementors live in places where there'd despair, and they reproduce quickly in such places, but sometimes (like after the Second Wizarding War), when there is a lot of hope and happiness all over the place, dementors decrease in number.