"What is wrong?"
Translation:Что не так?
Hm, that's a tricky question! If you translate it literally, it means '[is] something not this_way?' However, the не так often means 'not OK'.
Probably for the same reason we don't say 'How not good?' in English. Как = how, не хорошо = not good.
A more literal translation of «Как Вас зовут?» would be "How do they call you?" (since "they" doesn't refer to a real group of people, and is just a way to make a generalisation, the pronoun is not included in the Russian sentence).
We don't usually speak like this, it sounds pretty strange (although you will be understood, of course).
«В чём пробле́ма» works.
Probably no. You could use it if you wanted to know the meaning of the word «проблема», I guess (but in this meaning, «что такое проблема» would sound more natural).