I learned 'what' and the 'where' version always seemed odd to me. The star is clearly 'up above the world so high'
The English lyrics were first published as a poem with the title "The Star" by sisters Ann and Jane Taylor (1793–1824) in Rhymes for the Nursery in London in 1806. The poem was probably written by Jane. There are five stanzas. The repetition of the first two lines at the end of each verse is not in the original, but is needed to fit the usual melody. Below is the whole text with only the first phrase with the repetition of the first two lines added:
Twinkle, twinkle, little star,
How I wonder what you are!
Up above the world so high,
Like a diamond in the sky!
*Twinkle, twinkle, little star,
How I wonder what you are!*
When the blazing sun is gone,
When he nothing shines upon,
Then you show your little light,
Twinkle, twinkle, all the night.
Then the traveller in the dark,
Thanks you for your tiny spark,
He could not see which way to go,
If you did not twinkle so.
In the dark blue sky you keep,
And often through my curtains peep,
For you never shut your eye,
Till the sun is in the sky.
As your bright and tiny spark,
Lights the traveller in the dark,—
Though I know not what you are,
Twinkle, twinkle, little star.
according to wikipedia