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My question has been largely answered in the discussion linked to below. However, one question remains: in mid-sentence hypothetical direct speech without quotation marks, what is preferable capitalization?

People are incensed at the wealth of others: why does he have all that and I do not? they wonder.

or:

People are incensed at the wealth of others: Why does he have all that and I do not? they wonder.

My instinctive preference is for the former, without capitalization of the initial word of the thought. Yet it being a complete thought coming from a hypothetical "wonderer", not from the author, would seem to suggest otherwise.

Many thanks in advance!

Capitalization with quotation marks

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One solution is to use quotation marks as follows:

People are incensed at the wealth of others: "Why does he have all that and I do not?" they wonder.

Even though you are, in a sense, inventing the quotation I think it's allowable and solves both the problem of the capital and that of the question mark.