What did the Jews think might be the reason for their deportation? Where were they told they were going?

For the most part, the Jews of Sighet, Wiesel's hometown, were in denial about what was to happen to them and about what was being done to the Jewish population of Europe. When Moishe the Beadle—who had been deported earlier than the others and had then escaped and returned to Sighet—told them the Jews were being massacred, no one believed him. As each stage of the threat escalated, people had some explanation with which they would reassure themselves that the situation was not really dangerous. A pro-Hitler government takes power in Hungary, but the Jewish population tells themselves the Germans will never be allowed to bring their troops across the border. When the Germans do arrive, people first say they don't seem so threatening after all. When it becomes known the Jews will be transported out of Sighet, the belief is that it is merely so they'll be made to work in a brick factory. Other explanations are offered: the Jews are being moved away from the battlefront, and civilians are always evacuated in these situations, so it's actually being done for their own good, their own protection; maybe all the Germans want to do is steal their valuables, and it is better if the Jews are "on vacation" while this is happening. There is a kind of relief in being finally transported out of the town, because everyone has been forced out of their homes and made to wait for days, camped out in the open in the streets.
The one ultimate fact everyone is unaware of, or continues to be in denial of, is that the Jews are to be murdered. The reaction of most people, whoever they may be, to the possibility of something such as genocide is always along the lines of, "Oh, they would never do that! They would never go that far." But when Hitler first came into power in 1933, eleven years before Night takes place, no one believed he would carry out even the "milder" measures against the Jewish population, such as restricting their freedom of movement, forcing them to wear the yellow star, and so on. This was in spite of the fact that Hitler had basically announced these sorts of intentions in Mein Kampf.
Once Eliezer's group is on the deportation train, the only person who recognizes what their fate is to be is Mrs. Schächter, who is thought insane by the others when she sees a fire in the dark night outside the train. The fire is a vision of the crematoria at the concentration camp. Upon their arrival at Birkenau, the deportees are berated by the prisoners already there for their ignorance of what is to happen to them. Eliezer and the others can only reply that no one had ever told them about the reality of what was taking place.