Add the Greek prefix "meta-" (beyond) to the base "physical" (nature), and you get metaphysical — a near synonym to the Latinate word "supernatural." Both concern phenomena that are outside everyday experience or knowledge.
The adjective metaphysical entered the English language through Aristotle, whose Metaphysics is a collection of treatises that follows his Physics. Physics concerned natural philosophy, what we would call "science" today, while Metaphysics dealt with more abstract questions about the reality beyond what we perceive with our senses. Look at a physical object, say an apple. At what exact point did that apple come into existence? If you eat it, does it cease to exist, or does it still exist but in a changed way? These are metaphysical questions.