Learn Dutch: Fietsen ze zaterdag naar het strand? - Do they cycle to the beach on Saturday?

This is the Time before Place rule in action! In English, we usually put the place first (to the beach on Saturday). But in Dutch, the time (zaterdag) almost always comes before the destination or place (naar het strand).

Why doesn't the Dutch sentence use a word for 'do' like in 'Do they cycle'?

Dutch doesn't use helper verbs like 'do' or 'does' to ask questions. Instead, you just swap the subject and the verb. A normal statement is ze fietsen (they cycle), and to turn it into a question, you simply flip it to Fietsen ze (cycle they?).

Why is there no word for 'on' before zaterdag?

In Dutch, you can just state the name of the day to mean 'on that day'. You could use the preposition op and say op zaterdag, but leaving it out is very common and perfectly correct.

Can I use zij instead of ze in this sentence?

Yes, you can. The word ze is the unstressed form of 'they', which is used in everyday speech. You would only use the stressed form zij if you wanted to emphasize exactly who is doing the action (for example, 'Are THEY cycling to the beach, or is someone else?').