"What don't we have?"
Translation:Чего у нас нет?
When you say you don't have something you use the genitive case instead of nominative, so you say у меня нет книги (genitive singular) for "I don't have the/a book" or у меня нет книг (genitive plural) for "I don't have (the/any) books" even though the word for book is книга.
Now when you ask a question что also needs to be inflected and it has to match the case of the answer.
что это? (nom)
это книга (nom)
чего у нас нет? (gen)
у нас нет книги (gen)
The question word usually goes at the beginning of the sentence in Russian. To figure out the case and how to order the words, try this:
If you are asking a question like the one above, imagine what an answer might look like: «у нас нет воды»
Next, switch the question word in for whichever word is the one that answers it. In this case we are asking "what", and the answer is "water". Make sure you use the same case of the question word as the answer word: «у нас нет чего»
Lastly, move the question word to the beginning: «чего у нас нет?»
It works in many cases.
There are words in Russian that always have the next word in the genitive case, words like у, много and нет. It's best just to remember them. I've explained in the other comment why чего isn't written straight after нет like it usually would be.
Another way of understanding why нет makes the next word genitive is that you could literally translate it as "there is not of" although it's a little clunky. Genitive in English is often expressed by putting "of" in front of the word.