(Read this in "the missile knows where it is at all times" voice)
The DNS request knows where it is at all times. The DNS request knows where it is by subtracting the domain it started at from the domain where it's going. By querying IP addresses from DNS servers, the DNS request finds the initial point addeeses of the root "dot" servers in order to query and find addresses of each subdomain in turn until it has the address of the target domain. Once the query has located the IP address of the target domain it then returns that information to the system that made the DNS request so that the network protocol can request the requested data payload from the target system. Throughout this process the DNS request knows each outbound server it used to get the address information and the inbound servers used to return it. The data payload request does not follow the path the DNS request made to retrieve the address data, instead it connects directly via the connection-oriented TCP protocol or the so-called connection-less protocol UDP to request delivery of the requested data.
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