Compare with "... the great city, which spiritually is called Sodom and Egypt, where also our Lord was crucified." (Revelation 11:8), "And they bring him unto the place Golgotha, which is, being interpreted, The place of a skull." (Mark 15:22)
Eunuch: "What's going on over there?"
Leper: "They're leading Jesus all the way out to Bumfuck, Egypt to be crucified, hanged, whatever..."
Actually, it means that you live in the middle of nowhere - in the boonies - out in the boondocks - in an extremely rural or out-of-the-way area. Destination has nothing to do with it.
If the nearest place to buy gas for your car is an hour's drive away, you live in bumfuckegypt!