If you have idea where Mary lives,please tell us.
have idea（知道）+从句,有此用法.如：Do you have any idea where he lives?你知道他住在哪里吗?
两空填do know,不妥.因为句中意思没有强调.
而填in where是不对的,因为where前不能加介词,如果是in which的话才是对的