in = in
nel = in + il = in the (masculine noun)
nella = in + la = in the (feminine noun)
Because Italian doesn't always need an article whereas English does need one. That's both the beauty and the bane of languages - they don't mirror each other.
It actually makes sense not to use an article here. The question is not related to the bathroom, but to the... erm... person's activity. It wouldn't matter if they were using this particular bathroom ("the") or some other one ("a"). We use the same construct in Romanian.