Answer:
Hello there, your answer here is that this sentence fragment is missing the subject. "Don't know which way to go" does not explain who is being talked about. If the sentence were "I don't know which way to go" or "You don't know which way to go," it would explain who is being talked about, but it does not - thus, this sentence is missing the subject.
Hope this helps you! Have a great day. - Mani :)