Why capitalize this word in the middle of the sentence?

Solution 1:

According to The Chicago Manual of Style (13.41),

Thought, imagined dialogue, and other interior discourse may be enclosed in quotation marks or not, according to the context or the writer’s preference.

(How unprescriptivist, especially for CMOS!)

Here, dropping the quotes signals that it's an example of 'thought / imagined dialogue / other interior discourse' rather than a verbatim image of a conversation or piece of writing; it actually seems less incongruous to me here. Retaining the comma and capital sets the quote (syntactic rather than physical sense) off from the framing sentence to make the quotative structure clear. Though retaining the mid-sentence capital without safely caging it in quotes might be felt jarring to some. Probably, some people would prefer there to be no capital after a comma, but replacing the comma with a colon would give a widely accepted alternative (with or without capitalisation of the following letter). But punctuation 'rules' are increasingly being seen as tools rather than constraints; some 'bendings' seem to be advantageous, preferable to the traditional diktats. Of course, unconventional usages could rapidly lead to confusion, so care and consideration is needed.

Solution 2:

It's similar to a direct quote:

She said, "Does anyone support this legislation?"

But they're not quoting a person directly--they're just stating the question verbatim. Perhaps reading a card or off a monitor.

Below that is an example of an indirect question.

The question was whether anyone supported the legislation.

That could be a summary of a conversation where the participants had been asking questions like "Have you heard if the Republicans are supporting this bill?" "No, I haven't. Have you heard anything about the Tories or the Independents?" "Not a thing." It's possible that no-one spoke the actual question "Does anyone support this legislation?" so it was wrapped up with an indirect question.