What do you think that big and unpleasant sound was?　の場合、do you think という疑問文は挿入文ですが、実際は主節で、What that big and unpleasant sound was が従属節、すなわちこの場合は文が名詞化されたものです。What was that big and unpleasant sound?　の名詞化は what that big and unpleasant sound was なのでWhat do you think was that big and unpleasant sound? は文法的に誤っています。When did he say he would come?（彼はいつ来ると言いましたか？）なども同じタイプの疑問文です。