The subordinating conjunction 'that'

Hi teachers,

I know that the subordinating conjunction 'that' is never used in reported speech for questions or yes/no questions.

But in these sentences even though they report what someone thought, I'm not using the verb 'asked', I'm using the verb 'thought'. The rule applies for these ones too. I mean I can't use 'that' in these reported speech sentences, not even as optional, right?

"Where am I?" Coke though.

Coke though where he was.
"Are the police wating for me in there?" Coke thought.

Coke thought if the police were waiting for him in there.