I have drains in the window wells of out basement (2). I don't know where they go. There are no signs of an entire system that comes out some where.
They should connect to weepers around the foundation that, in turn, tie into a municipal drain, a sump in your basement or some exterior drainage system on your property. It all depends on local regulations and the peculiarities of your home and property.
Or it could be that is all it is, a drain with a bit if gravel and sand.
a drain with a bit of gravel and sand
I once came across a w.c. in an addition behind a storefront that was drained that way!
It was only discovered sometime later, when the new owners were having trouble with "backups".