Can we use THAT to ask?  And Why do we use or don't use it?

I don't know why THAT isn't used in the second example. It is very much like in Portuguese:

Ele disse QUE não queria ir para casa

Ele perguntou onde era o banheiro

e Não :  Ele perguntou QUE onde era  o banheiro.

Do you know why QUE isn't used in the  last sentence? If you do, you have the  answer to your question.

He doesn't want to go home.

He said THAT he didn't want to go home. OK

Where is the toilet?

He asked THAT where the toilet was. ( Wrong)

He asked where the toilet was. OK

Thanks