OP has asked which of the following two sentences is correct:
1.The information I need to know in which building is the class held.
2.The information I need to know in which building the class is held.
Sentence 2 is grammatically correct because 'the class is held' is a restrictive relative clause that identifies the building.
If we don't shift "is", proper passive construction is not maintained and the sentence sounds more like a question than a statement.
The sentence is lengthy and hence confusing. It can be be made concise without changing the meaning:
"I need to know in which building the class is held."