"I do not know in which room we were" is correct grammatically and is often said -- I recommend it be accepted as an alternative
It is grammatically correct, or at least it was for quite a long time. In these days of more relaxed grammar rules, I don't know if the traditional ones still apply
FWIW, where I've lived (US East Coast/Mid-Atlantic areas), that construction would rarely be used in everyday speech, even if it is still grammatically correct. It sounds bookish or affected. I can't speak for other US regions or usage in BrE, however.
I hail from the same area. As Duolingo accepts multiple translations, i see no reason to not include this one. I can assure you there are many of us who do speak this way.
"I do not know in which room we were"... (a) is grammatically correct in English, (b) has multiple user reports, and (c) is a literal translation of the Czech original I've added it as an acceptable translation.