My first thought is that if you don't even know that information, and your first contact for family info (MIL) doesn't either, I personally would say I didn't know them well enough to send a gift.
But that's just me. If I really wanted to send a gift, I think I would just make it out to Bride's current name (as stated on the invitation), and send it to the address provided (her parents). Most likely she will deposit it right away so there won't be any problems with the bank.
I think you could also make the check out to both the bride and groom--"Jane Smith and John Doe"--and then either of them would be able to deposit it.
I think writing a note to ask first wouldn't be rude, but it would be a little odd, yes. It's just a lot of trouble to go through, and the bride's parents probably have a lot on their minds right now anyway if they're receiving all the RSVPs and so forth. They may not even read the note well enough to realize they should respond quickly.