A photon’s energy depends on its frequency (f). Higher frequency = greater energy.

If a photon travels through space having E = f1, and enters a gravity well, it is blue-shifted, its energy becomes E = f2.

As f 2 > f1; if measured at any point in the gravity well, the photon’s energy is greater than it was when in space.
Where does the extra energy come from?

Two possible answers suggest themselves.
1. It comes from the gravitational energy of curved spacetime.
2. Energy is not globally conserved in curved spacetime.

There never was nothing.