The Korean sentence is very strange if it isn't wrong. I'm sure this was made by some computer program, not by a man.

Better word-by-word translations would be like these ones:

형사는 우리가 어디에 갔냐고 물어요.

형사는 우리가 어디에 갔느냐고 물어요.

형사는 우리가 어디에 갔는지(를) 물어요. : (를) is optional.

형사는 우리가 어디에 갔는가(를) 물어요.

All the sentences above can be substituted with '형사가' instead of '형사는'. The choice between '은/는' and '이/가' is quite subtle and sometimes fuzzy. Explaining the reason is beyond my ability.