Is: 'We are travelling!' not correct?
You need to translate the sentence as closely as possible. 'We are travelling!' is better translated as Cestujeme!
"We are on the path" is also possible?
I will add "on a path" now.
In the meaning: We are standing on a footpath. We found the footpath. ? Perhaps it might be added... But it certainly does not mean the same as We are on our way.