These are all OK. "What" is probably better than "which", unless there was only a limited choice of possible questions.
Informally, I might well say: "What did they ask you?" "What questions did they ask?" also works.; or even, "What did they ask you about?" I think "questions" is implied in the "did they ask", and the "you" is probably implied, if you are writing or speaking to a specific individual. But you have a lot of choice here :)