What a great question. It brings to mind the scene from Life of Brian by Monty Python:
"You're all individuals" [Brian]
"Yes, we're all individuals" [crowd as one]
"I'm not" [single voice]
I like this as an answer:
If the students are coached to respond with the set answer, then they ought to say "we are fine, Miss". If, however, the teacher geniunely wants to know each student's condition, then those that are fine ought to answer "I am fine." Of course, some might offer a different answer entirely; e.g. "Actually my back's playing up this morning", "Hung over", "Felt better to be honest".
You weren't expecting a definitive answer, were you?