No, it's not necessarily wrong for us to ask God why He's allowed things to happen to us the way they did. God doesn't want us to pretend or be dishonest when we come to Him–and in any case, He already knows what is in our minds and hearts.
Job in the Old Testament didn't understand why God was allowing Him to suffer, and questioned why God had let it happen. In the midst of his pain and discouragement he cried out, "I loathe my very life; therefore I will give free rein to my complaint and speak out in the bitterness of my soul" (Job 10:1). God didn't cut him off or get angry at him; God knew what he was suffering, and He understood his emotions.
But listen: Job didn't stay there. In other words, he didn't just keep on complaining. Instead, he honestly sought God and, in time, God reached down and brought comfort to him. No, all his questions weren't answered–nor will yours be. But Job saw God's greatness and love in a new way–and that made all the difference.
Don't question God because you think He must be wrong; He isn't. Instead, ask Him to help you to trust Him, even when you don't understand. God loves you–if He didn't, He wouldn't have sent His Son into the world to die for you. But He did, and that makes all the difference.