What is the incorrect pronoun to this sentence my friends and I went to the museum where they saw the modern art exhibit?

The incorrect pronoun is they.

The pronoun 'they' refers to the compound subject of the sentence 'my friends and I', which is a first person noun phrase because the person speaking is included. The pronoun 'they' is a third person pronoun, referring to people spoken about.

The pronoun 'they' must be changed to the first person, plural pronoun 'we' to take the place of antecedent noun phrase 'my friends and I' as the subject of the dependent clause:

My friends and I went to the museum where we saw the modern art exhibit.