We did not know about that, WHICH/WHAT caused us thinking in a wrong direction.
What is the correct form of this sentence?
You are looking to use a relative pronoun. Which is generally accepted as a relative pronoun. Use of what as a relative pronoun is non-standard, though common in some dialects. If you are writing for anything even vaguely formal, you should use which.
There is room to discuss when to use which and when to use what when using them as interrogatives. Both of them have very similar use in that role. As relative pronouns, it is much clearer. Use which.