"I wonder why X's don't have (insert subject) and you do" Is it a question? Statement? A question imbedded in a statement? Or would it depend on the tone that was used?
Thank you in advance.
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It's context sensitive. If you are genuinely asking "I wonder why the other bakery doesn't have dinner rolls, but you do?", then it's just a question.
If you are not asking in order to get a response, but are instead commenting on the sad state of the other bakery (perhaps you are making a point to this baker that he needs to be well-stocked in dinner rolls,) then it's called a rhetorical question and may not require a question mark.
In the declarative sentence
I wonder why the Joneses don't have a Lexus and you do.
the word "why" serves as a subordinating conjunction to introduce the clause
Joneses (subject) -- don't have (verb) -- a Lexus (direct object)
The structure is the same as the related sentence
I wonder that the Joneses don't have a Lexus and you do.
with the word "that" taking the place of "why." The difference is in the meaning: in the second sentence, you're contemplating the automotive disparity; in the first, the reason for the difference.
The clause in the first sentence isn't a question, but you may transpose it into one, using why as an interrogative adverb:
Why don't the Joneses have a Lexus?
Notice the difference in the word order.