Traditionally, the embedded comment or question is not quoted because it is part of an internal, isolated monologue and not part of a dialogue. As a result, using quotation marks around an embedded comment or question is superfluous, but it could also be misleading since the embedded nature of the comment or question is meant to show that the information was not stated aloud or meant for anyone else but the speaker/author. If the embedded comment or question has internal punctuation, then the first word should be capitalized.