It is okay that way, yes. We might be more inclined to say either of the following: WE DON'T DESERVE TO BE IN THIS SITUATION. WE DON'T DESERVE THE SITUATION THAT WE ARE IN. Gramatically, in a more formal context: WE DON'T DESERVE THE SITUATION IN WHICH WE FIND OURSELVES. (This would not be used in casual conversation - only in a more formal, written context.) Hope this helps!

the natural way to say this is as follows :- We don't deserve to be in this situation.