The best thing is to advise them by letter, with acknowledgement of receipt,that you have learned that they are not a couple in the true sense, i.e. not legal, and that this is not allowed according to the Qatari law. Because of this you request them to vacate the room/flat within 2 days effective date of receipt of this letter.

This way you cover your back incase there is some trouble later on & you have proof that you acted immediately when you learned about their situation.

Do not contact the police as it is not really your business. What is important to you is that they move out.
Now if they do not move out within the timeframe mentioned, then you can first advise them that you are obliged to contact the police and if after that they still do not move, then you contact the police.
Sound good to you?
Good luck