Learn Italian: Non so se il treno è in ritardo. - I don't know if the train is late.

The word so is the irregular "io" (I) form of the verb sapere, which means "to know" a fact or piece of information. Since you are talking about knowing a fact about the train, you use sapere.

Why does the sentence say "in ritardo" instead of just a single adjective for "late"?

In Italian, to say a train, bus, or person is late, you use the phrase essere in ritardo, which literally means "to be in delay". It acts as a set phrase, rather than a direct adjective like we use in English.

Does se mean "if" or "whether" here?

It means both! The Italian word se translates to both "if" and "whether". You can think of this sentence as "I don't know whether the train is late" and it works exactly the same way.

Why isn't there a word for "I" before Non so?

Italian normally drops subject pronouns like io (I). Because the verb form so can only mean "I know", the listener already knows who the subject is. You just put the negative word non right in front of the verb.