"Where do they go?"
Translation:Où vont-ils ?
"marcher - to walk" is by foot and "aller - to go" can also be any way to move, I suppose. Go by car or whatever.
As your sentence stands, it is wrong. It would translate as "where have they". If your sentence has a typo and you meant "vont", then it should be accepted.
I wrote "elles vont-où?" and it was accepted as correct. Would this be translated as "They go where?" and would it be considered weird to say?
not in french! Statements such as that with a questioning intonation are acceptable when spoken and also when written but it's considered informal