Learn French: Tu dois choisir qui attaquer, le dragon ou le gobelin. - You must choose who to attack, the dragon or the goblin.

This is the core of an indirect question with an infinitive! Because the person doing the choosing (you) is the same person who will do the attacking, French can take a shortcut. Just like in English ("who to attack"), you use the question word qui directly followed by the infinitive attaquer.

If the dragon or goblin is the object of the attack, shouldn't we use que instead of qui?

It is easy to mix these up! As a relative pronoun, que replaces objects. But here, qui is an interrogative pronoun (a question word) meaning "who" or "whom". When asking a question about a person or a character, "who" or "whom" is always qui, even if they are the object of the verb. If you used que, it would mean "what to attack".

Could I say lequel attaquer instead of qui attaquer?

Yes, you could! If it is already established that you have a specific set of choices in front of you, lequel attaquer (which one to attack) works perfectly. In this sentence, using qui (who) treats the dragon and goblin a bit more like people than mere objects.

Why isn't there a preposition like à or de between dois and choisir?