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Do not use quotation marks with indirect discourse, thoughts, a rhetorical question, or imagined conversation. Generally, a question following an introductory element begins with a capital letter though informal or short ones may not; however, a comma is often used to set off the question from the preceding clause:
            Tom told Huck they had to do it that way because the books said so.
            What is Bob doing here? Sally wondered.
             OK, you say, but is there really any other choice?
             We thought suddenly, We have seen this place before.
             Joe's question is, What do we do now?
             Sam wondered, what for?
             "You go back to Augusta wondering, What can I do?" says Roy.
             As she asked herself, How am I going to pay for this? she looked thoughtfully at John.

Do not use quotation marks with yes and no and other such words in indirect discourse:
            He could never say no to a woman.