There is no official source that lists monsters by plane of origin
Unfortunately, there is no resource available in any of the offical books that lists all the planes and the monsters which inhabit them. Dndbeyond also has no such ability to search or filter on this. So, I'm afraid you are going to have to do the work manually.
A good place to start though will be Appendix C of the PHB (p 300) which is called "The Planes of Existence" and which has the full list of planes:
- Nine Hells
- Mount Celestia
Though the PHB also notes that these are only the most well-known planes and that there may be others (eg Outlands) as well as demiplanes.
The PHB has a nice graphic showing the arrangement of all the planes as well which is worth checking out.