Good question. Best way is to click on the CiviCRM Tab on the webform, and then look at the fields that are checked either on the relevant Contact, or on the Activity, Membership or Contribution section. That should show you both the 'name' of the field and the 'name' of the fieldset (field group).
The other option would be to look at the webform component itself and the 'field key' would look something like civicrm_1__1_cg16_custom_152. in this case the '16' is the id of the fieldset (field group) and the 152 is the id of the custom field.
You should therefore be able to look at /civicrm/admin/custom/group?reset=1 and click on View and Edit Custom Fields on any of the field sets, and then change the id in the url, eg such as /civicrm/admin/custom/group/field?reset=1&action=browse&gid=27 so instead of '27' to '16'
If the field is still not obvious then you can repeat this process, ie click on any of the 'fields' and change the id, eg from /civicrm/admin/custom/group/field/update?action=update&reset=1&gid=16&id=1 so you change the '1' to '152'
At that point you should have access to the 'options' for the field and should be able to add new options.
Gosh that seems long-winded, but hope it helps.