A fringe theory suggests that they came to Egypt from a distant land known as "Las Vegas," but records there are scant.
"But what about the thousands of ancient Egyptian paintings we've found?" you might be thinking. "Surely we can look at those and know the skin tone of the mighty Pharaohs!" Well, if you were thinking that, you're wrong again. Egyptian paintings were heavily stylized, with men often portrayed as red and women as bright yellow, which, discounting severe sunburn and/or jaundice, aren't really shades that human beings come in.
Although this does support the "space aliens" theory.
Greek sources refer to the Egyptians as being "dark-skinned" and "curly-haired," which is sort of helpful in the sense that it lets us know that they probably didn't look like Jackie Chan, but otherwise could mean they were anything from black to Semitic to Italian.
The closest thing that science has to a conclusion is that the Egyptians probably emerged from northern Africa, which, as you may have noticed, is where Egypt is located. So we've got a rough idea, but only in the sense that Dwayne "The Rock" Johnson and Arnold Vosloo are equally believable as ancient Egyptian princes.