That phrasing is okay, but it looks more like a quiz than a question. This kind of "fill in the blank" question with a statement structure (no inversion of the verb, no question word at the start) is sometimes used when you aren't actually asking a question, but you already know the answer and are testing the other person
A whale is a type of what. Is the answer "fish", "mammal" or "mollusc"?
So the usual phrasing is "What are they varieties of?" or "Of what are they varieties?" (The latter being more formal, but less common)