Wrong, that's how it should actually be said. English has changed to make saying the propositions at the end the norm.
Historically English has always preferred the preposition at the end. During the classical period, academics thought it should be more like Latin, and so started teaching to never put the preposition last. But that's Latin, not English. After centuries of bad grammar rules, people are starting to understand that English prefers the preposition to be last in this kind of question.
Although Duolingo doesn't include it, it's common to hear mai in there, and acts as the word "from" or "come"
“ʻo ia” (he/she) needs to be in there, but your usage of “No hea mai” is still correct.
I will try to break everything down in best English equivalents as possible. This is actually a tough sentence pattern to go into depth by just typing and with no diagrams.
"Hea" means where. The "no" in this case, when coupled with "hea" as in "no hea" carries the meaning of "for the purpose of where". Some people my reduce it to meaning "of," but thatʻs not entirely correct, it has a stronger meaning than "of". "Mai" is a directional meaning "towards the speaker"; the opposite of "mai" is "Aku" or "away from the speaker".
In the sentence "E hele!," it is a suggestion to someone saying "Go!". When adding "mai," as in "E hele mai," you are suggesting to them "Go (towards me)!" or in common English, can be translated to "Come!". When you have "mai" with a place word, such as "hea" in "hea mai," it is saying "where (towards the direction of itself)," or in common English "where from."
This is an equational sentence, so = . or in this case No hea mai = ʻoe. SO, in this case rearranging "No hea mai ʻoe?" into English sentence pattern, we have: "For the purpose of where (No hea) are [sentence pattern] you (ʻoe) from (mai)?"
All in all, this is a pretty tough sentence to break down for non Polynesian language native speakers, as there are several linguistic concepts that arenʻt usually found in the main world languages that people are more familiar with or have as their basis. Hope this helps!