However, the question "Do you know where is north?" does not sound natural, nor correct. :P It's just a very weird (with a high chance of being grammatically incorrect, too) structure for such a question, especially since no article in included for north.
I would suggest you to use the typical structure for questions, because not all alternatives sound equally natural.
Sure, there are a lot of sentences/structures that are commonly used by English speakers, that are grammatically incorrect. Some of them even sound more natural than this one. This is something that also happens in Greek, and probably any other language out there.
However, when constructing a course, we always have in mind to include sentences and alternatives based on structure rules as much as we possibly can, to avoid confusion and reports, for typical reasons and for the sake of teaching.
Plus, if someone is not a native English speaker, it would help them get used to the right sentence structure, instead of an incorrect one. ^.^
Hm, that would translate to "Ξέρεις προς τα πού είναι ο Βορράς;" (For which way to be translated a bit more accurately). ^.^
"Do you know where north is" sounds weird to me, but I am not a native english speaker, is it correct?
As a native speaker from the US it would be quite common, might not be correct grammatically but I would say it.
As a native speaker of English, "Do you know which way north is?" sounds most normal. To my dismay, it was marked incorrect.