Most of us use commas to introduce quotations which is not wrong. This is because, in most types of dialogue, the quoted material stands apart from the surrounding text. In grammatical terms, it’s “syntactically independent.”
You can use commas when a quotation is interrupted by a phrase like, “he said” or “she said.” In fact, you use two commas. For example;
“What the king dreams,” [Ned] said, “the Hand builds.”
“Bran,” [Jon] said, “I’m sorry I didn’t come before.”
In certain cases, you can skip the comma when introducing a quotation.
First, skip the comma if the quotation is introduced by a conjunction like “that,” “whether,” or “if.” Following that guidance, you might write sentences like this:
My sister is constantly reminding people that “winter is coming.”
Mr Chris wonders whether “we’ve grown so used to horror we assume there’s no other way.”
My teacher said that “a mind needs books like a sword needs a whetstone.”
Second, ask yourself whether the quotation blends into the rest of the sentence—or, speaking grammatically, if it’s a syntactical part of the surrounding sentence. If the quotation blends in, the comma comes out.
Here are two examples:
It was the third time he had called her “boy.” “I’m a girl,” Arya objected.
Fat Tom used to call her “Sara Underfoot” because he said that was where she always was.