punctuation - How to puncutuate when using self imposed questions in a declarative sentence

I have toyed with using a colon and keeping the question marks or even ditching the question marks. See below:

Admittedly I was apprehensive at first to approach the prisoner, all I could think was “What crime did he commit?”, “How was he going to treat a 21 year old girl?”, and “How can I avoid talking to him?”.

But should it be this:

Admittedly I was apprehensive at first to approach the prisoner and all I could think was: What crime did he commit? How was he going to treat a 21 year old girl? How can I avoid talking to him?

or this...

Admittedly I was apprehensive at first to approach the prisoner. All I could think was what crime did he commit, how was he going to treat a 21 year old girl, and how can I avoid talking to him.

Answer

Trevor is correct about the first comma in the first sentence. By linking two independent clauses with this comma, you have created the generally frowned-upon comma splice. Highly inadvisable.

Thereafter, the quotation marks aren't really called for because you're not actually quoting anyone. Representing someone's thoughts, including your own, is not done with quotation marks, but may be done with italics, or with no special indication at all.

Because of this, your third version is the most effective. It is the simplest and most fluid. I wouldn't use italics for the thoughts (and, again, certainly not quotation marks) because you are not trying to record the precise words that you are thinking, but more the substance of your thoughts. And you don't need to put a question mark after each question, again because each of these is not a literal question. There could be some debate about whether to put a question mark at the end of the sentence, but the fact is, the sentence is declarative, and simply includes questioning thoughts as the objects of the sentence, and so the sentence should properly end with a period.

This last section goes beyond the points raised in your OP, if you're interested:

A couple of additional final points: I would use "about" rather than "to" with "apprehensive." I would place "at first" ahead of "apprehensive" for better flow. I would add a comma for clarity after "was" in the second sentence, and I would spell out "21." My suggested final version would be:

Admittedly I was at first apprehensive about approaching the prisoner. All I could think was, what crime did he commit, how was he going to treat a twenty-one year old girl, and how can I avoid talking to him.

(You might even want to work on adjusting the tenses of your verbs, but that's a stylistic subtlety that would take too long to go into here, and they're fine as they are.)