"What country are they from?"
It seems this language doesn't really use a different syntax when asking questions compared to making an affirmation. So, for example, 你是学生 means "You are a student", while 你是学生吗 means "Are you a student?". But not all questions require 吗 to know they're questions. Sometimes 什么, meaning "what" creates a question too, for example 你喝什么, literally meaning "You drink what" but really meaning "What do you drink?" or "What are you drinking?".
In this case I assume 哪 is just one of those particles you use to "substitute" for the very thing you're asking in the question, like a "which" or something similar. 国 means "country" and 国人 means "from X country", so, as we don't know which country you're from, we can't say, for example, 我是中国人 ("You are Chinese") or 你是美国人 ("You are American"), so we ask 你是哪国人 instead (literally "You are from which country", meaning "What country are you from?")
Yeah, 哪国 means "which country" here. 哪 is for questions about place. I agree the presentation here is somewhat impenetrable. Check out the free program called Anki and a free deck called "SpoonFedChinese". I've only done 200 or so of those cards (out of 10000 and they keep getting more complex!) and they make everything here seem very simple, even when I don't already know the vocabulary. I think I would really have struggled to do this Duolingo course without that Anki list.
I understand what you mean, but the main context of the question pertains to a plural of “them,” so your answer should’ve been《他们》instead of just《他》considering the questions in here are mostly being specific with their pronouns.