Do Anja's grandparents go to Theresienstadt in Czechoslovakia? What happens and how does Vladek find out?

Yes they do. It is a place for the elderly to be "attended" to. That is pretty scary. Families are told to give up there elderly or have them face deportation to the dreaded Auschwitz. I don't think his grandparents made it. THe sick and the elderly were useless to the Nazis and killed off pretty fast.