"Verb + with + [nothing]" is a dialect feature that is widely accepted in America. The Yale Grammatical Diversity Project (YGDP) has a great article about it. (This is different than the inversion we see in questions and similar constructs, where there is a proper prepositional phrase instead of "nothing": "Who will you go with?" => "go with who". For that, see When is it appropriate to end a sentence in a preposition?)
In sentences like "Can I come with?" context determines the exact meaning: Who's leaving? That's who the speaker wants to go with.
There are at least 6 verbs that can work like this, mentioned by Spartz (2008): come, go, ride, bring, take, and carry; a listserv suggests that be is also possible ("A friend was with and she drove me home"). Not all verbs are equally acceptable, however. Consider this map (created by Jim Wood on Oct. 11th, 2019, based on YGDP's data):
See also the YGDP interactive map.
It's most common for "come with" and "go with" to sound natural. (They both sound natural to me.) Those in a dark green area will find more verbs acceptable. Spartz (mentioned above) found all those verbs while researching Minnesota, which is entirely dark green.
The origin is likely Germanic, according to YGDP:
Many people have identified similar constructions in other Germanic languages, including the Scandinavian languages, as the source of this phenomenon. This would explain its presence in places like Wisconsin and Minnesota, where many Norwegian, Swedish, and German speakers settled.
Lunenburg English, an area that has significant German influence (but is too Canadian to be in the YGDP data), also uses "with" like that: "Will you go with? I am going with. Come on with!" (examples from Wikipedia).