Ultra Beasts [...], are a group of extradimensional Pokémon originating from Ultra Space by assistance of an Ultra Wormhole.
- Bulbapedia's page on Ultra Beasts
Ultra Beasts come from alternate dimensions, which, as stated in the quote from Bulbapedia, makes them extradimensional, rather than aliens. The name "Ultra Space" may imply that they are aliens, though they are not in the typical little green man from Mars sort of way, as Pokemon like Deoxys are - from my understanding, Ultra Space is less a place and more of a conduit that connects the Pokemon world to each of the dimensions the Ultra Beasts come from. Yes, they are extraterrestrial in the sense that they aren't from Earth, though the distinction that they're from another dimension is important in differentiating that they aren't simply alien Pokemon.
Note that there are other extradimensional Pokemon, which makes it important that the distinction that Ultra Beasts are from Ultra Space be made. It's also worth nothing that Cosmog, Cosmoem, Solgaleo, Lunala, and Necrozma are all connected to Ultra Space, though what dimension they're actually from is unknown, and they are not usually considered Ultra Beasts. For more information regarding this, (and my source) this Bulbapedia article about extraterrestrial Pokemon is quite informative.
