Not know what is happening or what the situation is

1-I don’t know what,why,where...
Not to have any information about something.

- I don't know why the event happened.
- I don't know where he has gone.
- We know nothing about his whereabouts.

2-I wonder what,why, where ...
You are curious about current location,situation,condition of someone or something.

- I wonder where he has gone.
- We wonder why he hasn't come.
- I wonder whether he could find a good job.
- I wonder how he can live on without any hope in his life.

3-I have no idea what,why,where...
If you have an idea of something, you know about it to some extent.

- Where's Bob? I have no idea.(I don't know.)
- I've got a pretty good idea why he left early.
- Do you have any idea what he looks like.
- No one has any real idea how much the company will make next year.
- They had no idea what time they were supposed to arrive.
- Not have the slightest/faintest/foggiest/remotest idea (=not know at all): He didn't have the slightest idea of how she really felt.


4-I have no clue what,why,where ...
You do not know or understand or how to do something :

- Do you know where St. Paul Street is? I'm sorry, I don't have a clue.
- I don’t have a clue where she lives.
- I had no clue what he meant.
- Do you know how to switch this thing off?' 'I haven't a clue.'
- Until I arrived here, I hadn't got a clue what I was going to say to her.

5-I have no lead where he is .
This would no be heard in American English. 'A lead' is a clue or a piece of information that will 'lead' you to solve a crime or , a puzzle, a problem.

- The police say they are following several leads in their search for the robbers.
- They have no leads how the deaths happened.
- The inquiry team is also following up possible leads after receiving 400 calls from the public.

6- It beats me what,why,where...
Used to say something that you find it surprising and you do not know it or cannot understand or explain it.

- It beats me where the guys have gone.
- It beats me how the people can afford to spend so much money.

References:
Longman Activator
MacMilan Dictionary
Cambridge Dictionary
Collins Cobuild-Leicon