what they do is so wrong? 點解有兩個動詞 do 和 is?

"What they do" is subordinate noun clause as subject with verb"do".
"is so wrong" is main clause with main verb "is",used in this pattern..
"what they eat---what they do"---are two clauses.(referred to phrase=without a finite verb., by referring to a TW Dictionary )
Warning:-When they press the button wrong,it is so dangerous that the computer had a blowout blown ,and crashed their life. ! So don't ask too much !

你問的那句裡的do是附屬子句（名詞子句當主句的主詞）的動詞，而is是主要子句的動詞。

類似的句子（主詞是一個"名詞子句"｝：
"What is whispered" is heard all over town.
"Whoever gossips to you" will gossip of you.
"Where he lives" is beautiful.
"How you look" is not important in radio broadcasting.
"That he had lied to us" was unbelievable.
"Where you go" and "what you do" are not my concern.