The following is correct, assuming a neutral tone:
"What holidays have disappeared in your country?"
It's true that
disappear does not need a preposition to function, as both @J.R.♦ and @Jawel have already stated in this thread, but disappeared from creates a nuance that something or someone that was there but now isn't, and its absence creates an often weird or eerie feeling, and to rectify this feeling, he/she/it should be back where he/she/it is. Other prepositions don't create this nuance.
The notebook disappeared from my desk.
(The notebook was on my desk, and now it's not. But it should be. How weird.)
The notebook on my desk disappeared.
(The notebook was on my desk, and now it's not. Oh, well.)
What holidays have disappeared from your country?
What holidays were there, and now aren't (but should be reinstated because you're not used to them being gone)?
What holidays have disappeared in your country?
As @Ronald Sole indicated, "In your country, what holidays have disappeared?"