He worried--why X; what will happen if Y?
It seems that this construction expresses the idea best, but it creates a few punctuation questions.
Should the first semicolon be question-mark? Is there also a past-present tense shift issue in the above?
Should W in why and what be capitalized? (typically one doesn't capitalize after dash but here dash introduces two sentences)
Here are some variations that illustrate the issue with 2 sentences that follow emdash and are supposed to connected to the clause before the emdash.
He worried--why X? What will happen if Y?
He worried--why X? what will happen if Y? (incorrect: can't have smallcase following '?')
He worried--Why X? What will happen if Y? (incorrect: can't have capitalcase following '--')
He worried--why X; what will happen if Y? (this can perhaps be a good way to express connecting the 2 sentences to the dash)
He worried--why X; What will happen if Y? (incorrect: can't have capital following semicolon)
Some have suggested using ':' instead of dash '--'. It's perhaps a more convenient option as rules regarding capitalization are more clearly defined for ':' but it doesn't fit in the context of where this expression is needed.
He worried: Why X; What will happen if Y? (this is perfectly acceptable. One can certainly capitalize right after colon if it begins a sentence. However as said earlier, this is ':' doesn't fit the context)