Such membranes occur in a range of animals from humans to insects.
They originate from the zygote, but are not considered part of the embryo.
They typically perform roles in nutrition, gas exchange and waste removal.
[1] There are four standard extraembryonic membranes in amniotes, i.e. reptiles (including birds) and mammals: In humans and other mammals they are more usually called fetal membranes.
The extraembryonic membranes in insects include a serous membrane (serosa) originating from blastoderm cells, an amnion or amniotic cavity whose expression is controlled by the Zerknüllt gene, and a yolk sac.