What, where, when, why, who-The “W” is pronounced in all but the last.
The reason is…?
They all used to start with a ‘hw’ and developed differently, like words do. My WAG, ‘hoo’ is easier to pronounce, as is ‘hat’, ‘here’, ‘hen’ and ‘hy’, but all the latter gives you a word that already means something else, which was a barrier to such a simplification in pronunciation.
In the Scandinavian languages, these pronouns are mostly pronounced with just a ‘v’, and spelled as such in Swedish while Norwegian (bokmål) and Danish have kept the ‘hv’ spelling. In the other Norwegian written form the ‘hv’ has morphed into ‘kv’ in pronunciation and spelling.
Get yourself a copy of Chamber’s Dictionary of Etymology. One of my ten bestest books.
While I don’t have a font that allows me to include all of the wonderful marks that linguists use when talking about language and pronunciation, I’ll type what they have to say.
Is that perfectly clear? 
And in Icelandic: hvað, hvar, hvenær, af hverju, hver. But in each case the “hv” cluster is pronounced as “kv”.