Learn Finnish: Minä tiedän, missä he ovat.

This is consonant gradation in action! In Verb Type 1, when you drop the final -a or -ä to get the stem (tietä-) and add an ending that closes the syllable (like the -n for "I"), a strong consonant changes to its weak pair. Here, the strong t weakens to d, making it tiedän.

Why is there a comma before missä?

Unlike English, Finnish has very strict punctuation rules regarding clauses. You must use a comma to separate the main sentence (Minä tiedän) from the dependent question word clause (missä he ovat).

Does missä always translate to "where"?

Missä specifically means "where at" or "in what place" (a stationary location). It is used here because they are somewhere, rather than moving. If you were asking where someone is going to or coming from, you would use different "where" words (mihin or mistä).

Could I say ne ovat instead of he ovat for "they are"?