"come through" is used only when the person needs to go through something to reach you. This would typically be a door, passage or room. If you were both standing in a field then you wouldn't say "come through" (but you could say "come here").

 

"come through" can also be used when you are ushering someone (guiding them somewhere or asking them to follow you) -- a little like "come this way". "come here" can't be used in this way.

 

"come here" seems quite abrupt (and can be rude, depending on how you say it), while "come through" is often more of a polite invitation.