It's a regional thing. "w" and "wh" used to be different phonemes in English, the former pronounced /w/ and the latter /hw/ (or /ʍ/ or /w̥/ depending on how you prefer to analyse it), but at some point in time they merged in the south of England so that both were pronounced /w/ (except before "o", in which case "wh" came to be pronounced /h/). This development spread throughout England (and consequently arrived in most of the English colonies). In Scotland and Ireland you can still hear them pronounced differently, so "whine" and "wine" are pronounced /hwain/ and /wain/, whereas in England and Wales they are homophones, both being pronounced /wain/. In some parts of Scotland and Ireland, /hw/ has further developed into /f/ (as in the famous Aberdeen greeting "Fit like?" (= "Whit like?" = "What like?" = "How are you?")), but you probably don't need to worry too much about this pronunciation.

The 'wh' sound is a relic of a much older style of speech, and until relatively recently, the aspirated 'h' sound in 'wh' was seen as the correct pronunciation. When I was at school here in England, many years ago, I was taught that the right pronunciation of the initial 'wh' was 'hw'. You do this with a breathy 'h' sound before the 'w', a little like 'hoo-which'. So the pairs of words 'which' and 'witch', or 'what' and 'watt', actually had different pronunciations, if you were speaking 'proper' English. Dictionaries may still give the aspirated pronunciation, at least as an alternative. These days, relatively few people use the aspirated pronunciation. I don't, but some older British people do, especially those who were privately educated at the 'better' schools. It is also a feature of some regional accents, particularly in Scotland.

I am a native American English speaker and I have never heard another native speaker pronounce where, what, and when with only an initial h sound as in the word who. I researched it a bit online and appearantly it is a southern American pronunciation thing though. I didn't realize other Americans did this. I wouldn't mimic it. It isn't a standard pronunciation. Related to this though is how natives will jokingly pronounce where as "vhere", what as "vhat", and when as "vhen" to sound "Russian". For instance, "Vhere do you vant to go?" (sounds like English spoken in a Russian accent) = "Where do you want to go?"

Yes, I think that it is regional variation. Particularly within Britain, there are several regional accents that either do or don't aspirate the h.

I think David has a keen ear. Yes, the aspirated "h" does survive but it is fading. I'm a U.S. native speaker and I grew up in the 1950s. I was brought up to believe that it was "better" pronunciation to aspirate the "h" in worlds like "when." However, it was vanishing even then. It's the kind of thing that is subject to regional, age, and even family variation. I've been muttering "when, went, when, went, when, went" and I think that I do aspirate the "h" just a bit. Yes, I can feel just a hint of breath on the palm of my hand when I say "when" into it, and not when I say "went." I remember being very bothered by the fact that it was spelled "when" but pronounced "hwen." What's particularly weird is that it was originally spelled "hw" in Old English! As usual, Wikipedia has... more about this than I need to know. But it confirms that "The pronunciation of the digraph ⟨wh⟩ in English has varied with time, and can still vary today between different regions. According to the historical period and the accent of the speaker, it is most commonly realised as /w/, or in those dialects that retain traditional pronunciation, as the consonant cluster /hw/." Wikipedia says that the spelling (but not the pronunciation) changed to "wh" in Middle English, but it doesn't say WHY. I think it's just about impossible to pronounce "wh" as spelled. https://en.wikipedia.org/wiki/Phonological_history_of_wh