'Why the hell' is stronger and more abrupt. I would not see it as swearing, but it expresses frustration, and in some contexts could be seen as quite rude.

There is. To my ear, "where in the world" is wondering, "where the hell" is angry (and "hell" is seen as swearing), and "where on earth" is a little bit exasperated.

I'm not sure but to me they sound a bit different.