No, pretty sure you need the do in there. If you had it arranged so that you indicated the question with an upward inflection at the end you might say 'I play with whom?' but 'With whom I play' is not grammatically correct English on its own. Find an English teacher and ask them if you need more convincing. You might say 'This is the person with whom I play' and that would be fine. But then it's a part of the sentence, not the full thing.