They get those from little bugs they catch in flight, as well as nectar and pollen from whatever flowers they can find blooming. That’s why you should also have some native blooming plants if possible. The feeder should never be their only source of food, but like it says about nectar in this article about bees, it can provide the extra energy to get to the next nutritious food source.
Adding anything more nutritious to the sugar water than plain white cane sugar would make it an excellent food for harmful bacteria and other microbes.