Not a native English speaker here, but I think that when you have a tangible object you are talking about, you should use which instead of what. They may be translated the same in one's mother tongue, but in English they can't really be used to replace each other.
Why would you need to say both naar and gaan? Is it purely because it's asking "To which?" Not that I'd be able to use it often but if i wanted to say "which island are we going to", would I still need naar at the beginning?