If the earliest records do not provide any suggestion as to where your ancestor was from, ask yourself:
who were the earliest hangers on?
Who were your ancestor’s geographic neighbors? Who appeared with him on the earliest documents in which he appears? If he appears in court records (particularly declarations of intention and naturalizations) who appears on the same day? Who attended the same church she did? From whom did he buy his first piece of property?
All those people could potentially be someone the “can’t track back any further” ancestor knew at some point in his life before the earliest record you have found on him.
Check out Genealogy Tip of the Day book version for other tips and questions you should ask yourself about your research.