Translation:I do not understand, are we going or not?
The present simple "go" does not fit here.
- I don't understand if we are going or not. - Я не понимаю, идём мы или нет. // affirmative
- I don't understand, are we going or not? - Я не понимаю, мы идём или нет? // question
Note the word order. It is not the only possible versions, but the most natural.
So, I'm being super pedantic here, but "I do not understand, are we going or not?" is technically bad English grammar because of the comma splice. Is the corresponding sentence in Russian also bad grammar or can you separate two independent clauses with a comma in Russian?