A: Where are you going?
B: I am going to school.
Where took the place of school and something that takes the place of a noun is a pronoun. So, why isn’t where a pronoun?
Where does not take the place of school, which is, as you say, a noun.
It takes the place of to school, which is a prepositional phrase acting in this sentence as
an adverb of directive location a subject complement ing to the verb go.
I am going [to school] → I am going [where] → [Where] are you going?
You may, if you like, consider where as an interrogative pro-