"Do they buy rice at the supermarket?"
Technically you could, but it really isn't done that way. Think of the structure X 不 X sort of like "do or do not" in English: "Do they, or do they not, buy rice in the supermarket?" In certain conditions you would ask the question that way (say, trying to establish the facts), but the question as stated is more like, "So, do they buy the rice at the supermarket?" (as opposed to somewhere else).