When there are two parts to the sentence, one that makes a statement (...my question is...) and one that asks a question (...where are you going...), it is the one at the end that determines the terminal punctuation. So there is an interrog at the end of this sentence. We have question word order. It is a question.
I would make a distinction between an indirect and a direct question:
...My question is where you were going.
...My question is where are you going?
...My question is what time you left.
...My question is what time did you leave?
And as for the question of putting a comma in this sentence after the word is, I never, never, never want that comma.
We do not put a comma between the verb and its completer.
...My name is, Margie... :-(
...The man is, ready for the surgery... :-(
...The answer is, that she will not be here... :-(
Does anyone want these commas? If you don't, then you cannot want a comma after is in our sentence here. The grammar going on in these examples is exactly like the grammar going on in "My question is where are you going?"
This is a construction that engenders a lot of heated discussion and one that people disagree on. I will always argue on the side of the grammar that is present in the sentence. The question in this sentence is a predicate nominative that renames the subject question = no comma.
No comma, no comma, no comma!!!! It is not that I feel strongly about this but...
Happy punctuating.
Margie