Using "that" to introduce a quote [duplicate]

If you use "that" to introduce a full quote from a person is there still a comma and is the first letter of the sentence capitalized?

For example, which one of the following is correct?

Bob once said that "a big fish is a good fish."

OR

Bob once said that, "A big fish is a good fish."

No comma is necessary if the quote continues the syntax of the sentence. The comma in direct quotation separates a reporting verb (says, tells, and so on) from the utterance. That, a conjunction, subordinates what follows it, removing the need for the comma. The UNC Writing Center guide to "Quotations" has several examples involving that. In each case, the material after that is quoted but also fits the sentence's syntax.

Harriet Jacobs, a former slave from North Carolina, published an autobiographical slave narrative in 1861. She exposed the hardships of both male and female slaves but ultimately concluded that “slavery is terrible for men; but it is far more terrible for women.”

The Pirate King argues that “it is, it is a glorious thing/to be a pirate king” (Pirates of Penzance, 1983).

The author laconically notes before the second quoted example that "when you use 'that' after the verb that introduces the quote, you no longer need a comma."

That advice is common in other popular grammar guides. Here is Grammar Girl on "When to Use Commas Before Quotations":

First, skip the comma if the quotation is introduced by a conjunction like “that,” “whether,” or “if.”