Question

He said to me," Dont you know the way?"

Answer 1

heya !!

--TO CONVERT THIS SENTENCE FROM DIRECT TO INDIRECT SPEECH WE WILL REMOVE SAID AND ADD ASK.
--ALSO , WE WILL REMOVE QUESTION MARK AND INVERTED COMMAS.

--THEN , THE SENTENCE WILL BE :

◆HE ASKED ME WHETHER I KNEW THE WAY .

◆◆◆◆◆◆◆◆◆◆◆◆◆◆◆◆◆◆◆◆◆

HOPE HELPED !!☺

Answer 2

yes,nice question.this is a interrogative sentence and it is a direct narration.
question is

He said to me ,"Don't you know the way?"
=> He asked me if/whether I knew the way