At paragraph 6.42, the 17th edition of The Chicago Manual of Style notes that a direct question is sometimes included within a sentence but not enclosed in quotation marks. When such a question comes in the middle of a sentence, it is usually introduced by a comma, and (this is the new part) it begins with a capital letter. This slight departure from earlier editions of the manual recognizes that such a question is analogous to a direct quotation and can be treated similarly.

{She wondered, What am I doing?}
{Legislators had to be asking themselves, Can the fund be used for the current emergency, or must it remain dedicated to its original purpose?}

If the question ends before the end of the sentence, no comma is required after the question mark (see also 6.125).

Top image: Question Mark (Interrogación). Courtesy David Santaolalla.

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