"Are they in the subway?"
Translation:Они в метро?
In russian, when there is a preposition, it often "attaches" itself to the beginning of the next word. They look separate by they sound like the same word. There is a system of pronunciation that they informally use, making the voiced letters (such as в) sound like their unvoiced equivalent (such as ф). Because it is sometimes more comfortable to use the unvoiced, (because a v and an m are more difficult to say than an f and an m), that is simply how they are pronounced.
In a situation where there are several subway systems in one city, you could perhaps ask "Они в ЭТОМ метро?" (but you'd have to apply appropriate case pattern). But as long as there's only one subway usually in any given city, we don't need to differentiate it from any other subway, and "the" becomes unnecessary.