The Comma and "My Question Is..."

"Less" and "Fewer" Reading The Comma and "My Question Is..." 1 minute Next Happy Thanksgiving
What follows "is" is a predicate nominative that renames the subject.
...My name is Margie.
...My response was that he was incompetent.
...My question is where did he go?
The last one is the exact pattern of the first two, where no one would want a comma. The last sentence has a little bad grammar thrown in, in that it should be an indirect question rather than a direct question. However, bad grammar does not affect good punctuation. :-)
I believe people want a comma there because they have always done it that way. What I often say in seminars is that, if you want a comma in the last one, you have to use a comma in the first two. They are the same.
I know many are going to disagree with the lack of punctuation after "is." My question, then, is how does it work grammatically to have a comma there?
Happy punctuating!