What do you want to say is a interrogative pronoun or adjective?

"What" can be both an interrogative pronoun and an interrogative adjective, depending on its function in a sentence.

Here's how to tell the difference:

Interrogative Pronoun:

* Replaces a noun or noun phrase.

* Acts as the subject or object of the sentence.

Examples:

* What did you eat for breakfast? (Subject)

* I don't know what to do. (Object)

Interrogative Adjective:

* Modifies a noun.

* Answers the question "Which?" or "What kind of?"

Examples:

* What time is it?

* What color is your car?

In your example:

The phrase "What do you want to say" uses "what" as an interrogative adjective because it modifies the noun "say." It is asking "What kind of saying" or "Which saying" do you want to make?