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Ordinarily, dialogue is set off by a comma:
He yelled, "Fire!"
Of these two sentences, though, I have a preference for the first:
When he yelled "Fire!" the other day, I nearly jumped.
When he yelled, "Fire!" the other day, I nearly jumped.
Is there a rule about omitting the commas setting off dialogue that occurs in subordinate clauses? It is a rare case, but I recall seeing this before. But I cannot find anything discussing this case.