Vienen a por mí.

The “a” is wrong. You should say: Vienen por mi

Really? I’m confused, because i thought where there is a direct object after a verb you put ‘a.’ Can you explain why it’s wrong???!

I refer you to this Tatoeba sentence: “¿Vas por él o a por él?” (Are you going in his place or are you going to pick him up?).