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.