Sarah's given a good explanation. :) I'll just add a couple of points.
To a native speaker, "Please tell me where is she?" sounds as if you began a new question in the middle of another sentence.
If the question word sits at the beginning of the sentence, then use the question-word order. For the indirect question form, the word-order following the question word should be as if it's the beginning of a statement (as Sarah explained above).
"Could you please tell me where she is?"