As bread Baker said, because the sentences are statements, not questions, they follow subject - verb phrase order - so :
I don't know where she was and not the question form
Where was she?
But in the second sentence
What is itself the subject of the verb. So this time the order doesn't change whether it's a statement or a question :
I don't know what is happening.
What is happening?
If it's this which isn't clear, see the thread
Inversion in questions