Very interesting question about question formation. I'd say that what's causing your confusion is the use of the word "with" twice ("start with" and familiar with"). You would normally say "What's the first letter in the word (that) you don't know?"

Please note that in English, "vocabulary" is normally used as a non-countable noun (this is how Inna naturally interpreted your question), where the singular can refer to multiple vocabulary words. If you want to turn "vocabulary" into a countable noun (as I suspect you did), you would normally say vocabulary word(s). You didn't ask, but FYI, "slang" is also non-countable, and should never be used in the plural, unless you're referring to different *kinds* of slang, rather than to slang words or slang expressions.

If you really what to stick as close as possible to converting your statement directly to a question, here you go: "What letter does the vocabulary that you're unfamiliar with start with?"

(There's also this much more formal option "With what letter does the vocabulary that you're unfamiliar with start with?)

A question about a question

Hello there. I'm unsure about how to transform the following sentence into a question:

"I'm unfamiliar with vocabulary that starts with the letter A"

If I want to ask "which letter", is it correct to ask:

"Which letter (that) the vocabulary starts with am I unfamiliar with"?

Thanks a lot

A question about a question

Hello there. I'm doubtful about unsure/uncertain how to transform the following sentence into a question:

"I'm unfamiliar with the vocabulary words that starts with the letter A"  <em>(huh? strange idea!)</em>

If I wanna want to ask "which letter", is it correct to ask:

"Which letter (that) the vocabulary starts with am I unfamiliar with"?

Words starting with which letters am I unfamiliar with?

I cannot think of words whose initial letters are certain letters - which letters are they?
 
Thanks a lot