An interesting question.
Perhaps when Gollum was just Smeagol and lived along the Anduin with Deagol, he was told stories about a faraway land called the Shire, where all of the Bagginses and Tooks lived. Another theory is that maybe, somehow, he visited the Shire. And lastly, maybe Bilbo told Gollum but it was never put in the books. I will leave it up to you and other people to guess the solution, but I am going with the first answer.
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