The question is, should the ‘should’ in this sentence be capitalized?
Also, is the type of that sentence interrogative or declarative or a mix of both?
I invariably struggle towards the simplest possible effective, clear, unambiguous answer. Often, these goals can’t be fully met, but I try.
In my opinion, the best version of your sentence is this:
The question is, “Should ‘should’ in this sentence be capitalized?”.
The virtue of this version is that it is absolutely unambiguous. Clarity in communication is usually my number one goal.
The sentence is declarative. An interrogative sentence is embedded within this declarative sentence as nothing more than the object of the sentence. It does not change the nature or kind of the sentence any more than dog changes he petted his dog into any other kind of sentence. It is possible to omit the concluding period as being unnecessary punctuation, and I wouldn’t quibble over that, but even if you took it out, it would not change the sentence into an interrogative. The mere fact of the concluding punctuation (in that case) being a question mark would not define what type of sentence it is, because it applies only to the embedded question.
I accept, however, that it’s possible to reduce the complexity of your sentence down to this:
The question is, should the “should” in this sentence be capitalized.
In this case, the embedded question is reasonably well understood from “should” beginning the object phrase, and the question mark is not needed. The period should be used by itself then. I think this version has the virtue of simplicity, although some degree of ambiguity starts to sneak in, so I would be wary of that.
I would not agree with a version that removes the comma because then you would create syntactical confusion. The reader would read the sentence as “The question is should,” and would be confused about where to go from there; “is should” would seem to be an impossible verb phrase, and suddenly the reader would be lost.
As for your choice of whether to capitalize the word when you are in fact asking whether to capitalize it or not, do it either way, and see what answers you get. Or be creatively clever, thus:
The question is, Should I be considered correct in capitalizing “should” to start this sentence?