Question

I don't know what should I say.

Answer 1

I don't know what should I say.（lz打错了吧）
应该是I don't know what I should say.=I don't know what to say.
是宾语从句

Answer 2

I don't know what I should say.,宾语从句

Answer 3

应该是 I don't know what I should say.
我不知道该说什么好。