Understanding the structure of 是谁打电话过来呢
This sentence has an abbreviated 的 in 是誰打電話過來的呢. 是～的 is a very common construction that you must remember; it is used for emphasis. In your sentence, you would like to emphasise who called. Basically, 誰打電話過來 (who called) is the question without any emphasis.

打～過來 should be seen together, not 電話過來. For details please see my explanation on the auxiliary verb 來 here. In general, 來 may (1) indicate an observed movement caused by the main verb (打) towards the speaker; or (2) the start (or in a more abstract sense, consequence) of the action caused by the main verb. Here, it emphasises someone called as if the call approached the speaker. A more semantically accurate translation of 打～過來 is 'to call here'.

Your statement on 呢 is irrelevant in this situation. While 嗎 is a question particle for yes/no questions, 呢 is a question particle for 5W1H words, in this case 'who'. Therefore,



是誰打電話過來的嗎（✖）
是誰打電話過來的呢（✓）
Who is it that called?

是他打電話過來的呢（✖）
是他打電話過來的嗎（✓）
Is it he who called?