In Chinese it will be "Tamen zai ying guo ma?" But I studied that we use shi to connect nouns, so can we also say: Tamen "shi" zai ying guo ma? Is it also grammatically correct?
It's just easier for me to understand and remember...
No, unlike the English language which needs "to be" to express this, you don't need the copula shi 是 to describe the location of someone or something.
You just use zai 在 (or, for example, 位于) to express this.
Saying 他们是在英国吗 is possible, but the shi in that sentence has a different function: it adds emphasis.