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Did you know they were coming by air?

Can I add ‘if’ before ‘they’ in the sentence above and is it usual to delete ‘if’ before ‘they’ ?

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You seem to be wanting to merge two common question forms. You can do that, but the situations in which you would do so are limited. The one you've given as an example is one form:

Did you know they were coming by air?

This uses did you know to enquire whether someone already had some knowledge. It is followed by what might otherwise be a statement. There's an extra optional word, but it's not if:

Did you know that they were coming by air?

That doesn't change the meaning at all; the first version could be considered to have an elided that, if you like to think of things that way.

These questions indicate that the speaker knows that they were coming by air, and they are asking if the other person knew that. Perhaps the speaker has only just learned that, and wants to know if the other person had already known. The other question for is where the speaker doesn't know something, and wants to find out if the other person does:

Do you know if they were coming by air?

The speaker doesn't know if they were coming by air, but wants to know. They don't know if the other person knows or not, so they ask this to find out if the other person knows. The other person might reply "yes, they were", or "no, they were coming by train", or "no, I don't know". Answering just in the affirmative or negative, "yes" or "no", would be ambiguous.

Now, you want to use did and if. That's okay, it's a valid sentence - it's a past form of the first question. The main case I can imagine it being used is in a story being told in a dialogue, and a listener asking a question:

"So we didn't know when they were arriving, or where, and we've got people swarming around all over the place to make sure someone was there to meet them."
"Did you know if they were coming by air?"
"No, we had no idea how they'd be arriving at all, so we had people at the train stations, the airports, we even had some people trying to figure out a possible time and place for arrival at the freight port."

Even that feels slightly contrived, but that's what I came up with on short notice for a reasonable use of the sentence that you propose.

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