For me, meanings of two next sentences are very different: "Who are they?" "Who are they with?"
In this scenario, context matters quite a bit. Let's take this example:
Ashley and John are there.
Who are they? implies that the speaker does not know who Ashley and John are.
Who are they with? implies that the speaker does know who Ashley and John are and that the speaker is instead interested in who else is there.
Usually, in such a conversation, there will be context before the question "Who are they with?" is proposed -- enough so that the they in the sentence is well-established. Compare:
Nick is with some people at the bar.
Nick is with Ashley and John at the bar.
In the first scenario, the subject of the sentence -- the some people -- has not been identified, so the question "Who are they?" makes sense. In the second scenario, the fact that every person in the sentence has been named implies that the audience knows who Nick, Ashley, and John are, so the question "Who are they?" makes less sense to ask, and instead "Who are they with?" makes more sense.
In fact, if I were to say "Nick is with Ashley and John at the bar" to someone who I thought knew all three people, and their response was "Who are they?", it would be jarring, and my response would likely be "Oh, have you not met them?".
Do you wait till the whole sentence is pronounced to understand it correctly, or you guess what is at the end?
In summary (and to answer this question), the questions "Who are they?" and "Who are they with?" are used in different contexts, and though people will listen to the entire sentence, the speaker is already anticipating which of the two questions is more likely.