They could find out where they were and in which direction they were going.

在这个句子中，in which direction 是介词短语，起到疑问副词的作用，相当于地点状语，同其前面并列的宾语从句中的where的用法相似。

In which area of China did the UFOs often appear?

在这个句子中，介词前置是因为和which area的关系近，而且多见于比较正式文体。介词短语起地点状语作用。in 也可以放在句尾。

例如：In which city do you live?=Which city do you live in?

但是in what direction 属于习语的变化，习惯上in 不后置。又例如：In what way do you study English? 一般不说What way do you study English in?