For instance, a cyclone is on the way to Mauritius Island.
Would you say there is a cyclone heading or coming to Mauritius?
It's not sure that the cyclone will hit Mauritius Island but it's coming this way.
You could say ' . . . heading for Mauritius', or ' . . . heading towards Mauritius'.
If you were on Mauritius when you said it, it would be grammatically correct to say ' . . . coming to Mauritius'. But 'coming' is perhaps not quite the right verb in this context - it sounds as if the cyclone is just making a social visit.