Learn Turkish: Bu doğru mu? Evet, doğru. - Is this correct? Yes, it is correct.

It is because of 4-way vowel harmony. The question particle changes its vowel to match the last vowel of the word before it. Since the last vowel in doğru is u, the particle becomes mu.

Where is the word for "is" in this sentence?

Turkish does not use a separate word for "is" in simple present sentences like this. Placing the question particle mu after doğru is all you need to ask "Is this correct?".

Why does the answer just say doğru instead of o doğru (it is correct)?

Turkish frequently drops pronouns like o (it) or bu (this) when the context is already clear. Just replying with doğru naturally implies "it is correct".

Since we are learning about yok (there is not), would I use yok to say "No, it is not correct"?

No, you would use değil (not). Yok specifically means "there is not" or "does not exist". To say something is not a certain adjective, you use değil, making the negative answer Hayır, doğru değil (No, it is not correct).