Is it correct to say, "Please, tell me the picture where you can see Big Ben?". There's an exercise in which you have to look at the pictures and say the letter of the picture to your classmate. what about "...tell me the letter of the picture in which...?"
That's a perfectly grammatical and understandable sentence. It's really imperative, rather than interrogative, so I would use a period, not a question mark. That being said, I see question marks on such sentences often enough that I'm not sure it's 'wrong'.
I think your second suggested phrasing is better, as it uses 'in which', rather than 'where', and Big Ben is in the picture:
Please, tell me the letter of the picture in which you can see Big Ben.
I wouldn't use either, though. It's more common to refer to Big Ben as being 'in' the picture, rather than referring to 'seeing' Big Ben in the picture.
I would probably say:
Which picture is Big Ben in?
Or, because the pictures are probably right there for me to point at and I would be speaking so I would use contractions:
Which one's Big Ben in?
There are any number of ways to phrase this, and multiple other prepositions or verbs that could be used. You could ask which picture is "of Big Ben", if Big Ben is the main thing in the picture. You could ask which picture "shows Big Ben". You could even ask which picture "has Big Ben". You could ask about the letters, or ask about the picture and assume the other person can figure out to respond with a letter.
At the extreme end, you could even just point at the pictures and say "Big Ben?".