There are, technically, two sentences. Main 'we do not know" and a side one, that depends on the main one and would not make sense without it but is a side sentence. The main sentence makes sense alone. We do not know. We do not say what it is we do not know but we know we do not know. Side sentences are separated by commas.
I think Czech language is quite "liberal" in question of orthography. You should try Romanian :) https://ro.wikisource.org/wiki/Povestea_lui_Harap-Alb