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A: I finally got my wallet.

B: Oh. Where did you find it?

A: It was under the bed.

B: It sounds strange. How did it go there?

A: I also don't know how it went there.

Are they correct?

Is "How did it go there?" a possible expression here?

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kumenglishIs "How did it go there?" a possible expression here?

No. You need to say 'get' instead of 'go' and 'got' instead of 'went'.

kumenglishHow did it get there?
I don't know how it got there.

In this context 'end up' and 'ended up' also works, as shown below.

kumenglishHow did it end up there?
I don't know how it ended up there.

CJ

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kumenglishA: I finally got my wallet.

That sounds like there was a delay at Amazon. You want "I finally found my wallet."

kumenglishIt sounds strange.

"It" is unidiomatic there. You want "That's strange."