IMO, both of these are of common usage, but have slightly different meanings:
"Wo ist er dann" implies: if the person you are looking for is not a certain place, where will he then be instead?
"Wo is er denn" has more the sense of "wherever could he be".
As the difference is vers slicht, this could also be considered as hair-splitting, I would agree with your German wife that you can use both.
Would any native (German) speakers like to comment on this ?