Learn French: Elles ont un grand lit ? - Do they have a big bed?

That "z" sound comes from connecting the silent "s" in Elles to the vowel "o" in ont (the "they" form of the verb avoir). This connection is called a liaison. It is very important because it helps you hear the difference between Elles ont (they have) and Elles sont (they are), which uses a sharp "s" sound instead.

Why is grand placed before lit? I thought French adjectives usually go after the noun.

You are right that most French adjectives come after the noun! However, a small group of common adjectives describing Beauty, Age, Number, Goodness, and Size (often called the BANGS rule) go before the noun. Since grand (big) describes Size, it comes before lit.

Where are the question words here? This just looks like a normal statement with a question mark.

In everyday spoken French, it is very common to turn a normal statement into a question simply by raising the pitch of your voice at the end. You do not always need to add Est-ce que or swap the word order around!

Why does the French sentence use Elles instead of Ils for "they"?

Elles is the feminine "they", used only for a group of women or feminine nouns. If the group included men, or was a mix of men and women, you would use the masculine Ils. The English translation just says "they" because we do not have this gender difference in English.