Paul is correct. When you add "I wonder" it is no longer a question (that is, in question format). Here are some more examples: How old is he? direct question I wonder how old he is. -- indirect, no longer a question Where does Mary live? I wonder where Mary lives. "What do I want to do with my life?" I asked myself what I wanted to do with my life.

I f you want make question use sentence 2 is clear

Hunter is correct too!

"What are they doing?" interrogative form inverts to become "I wonder what they are doing" non-interrogative form.

The first is correct, the second would sound fine if you paused mid-sentence: I wonder... what are they doing?