I know this episode really well. I've just checked this bit on YouTube and Roy actually says, "Then what went on fire?" It's the part where they are trying to work out how a Sea Parks can burn down when there is so much water and nothing flammable. :) The English in the picture is wrong. Cherry, 'to go on fire' is, I believe, said in Ireland. This character is Irish. However, it is also said repeatedly in this episode to be amusing.

The correct phrase would be "they won't catch fire". "They won't catch on fire" is also acceptable but this is subjected to cultural differences. To my understanding, "catch fire" is more common and widely-accepted than "catch on fire".

Just poor command of the English language by the speaker. Anyway, the translation does not match. The Chinese says, "Stones won't catch [on] fire"

OK, he made a mistake or just was going to be funny?

"Go" is correct. "Won't" is a short version of "will not" (future tense) so it can't go with "went" because it's past tense. Hope that helped!