I'm just wondering what made him go to Paris.

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Yes, but that's because you've used wonder about something in your paraphrase. Of course, we can't wonder something (without about), unless 'something' is a wh- infinitive or a wh-clause. The NP the answer to the question can't work as a direct object of wonder.

An equally suitable paraphrase of the question in the OP would be: I'm just considering the answer to the question 'What made him not go to Paris?'

I’m just wondering (about) what made him not go to Paris.

I mentioned using “about” in the gloss simply to show that there is no restriction to using it with “wonder”.

The other paraphrase you quote has “consider” as head verb and hence is irrelevant.

What does ‘direct object’ have to do with any of this? The paraphrase is used simply to show the meaning of the interrogative. In any case, "what made him not go to Paris" is not object of “wonder”, but an interrogative clause (embedded question) functioning as complement of "wonder" (or complement of "about" if it is included).
 
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I mentioned using “about” in the gloss simply to show that there is no restriction to using it with “wonder”.

The other paraphrase you quote has “consider” as head verb and hence is irrelevant.

Oh, okay. I misunderstood what you were saying, then.

In any case, "what made him not go to Paris" is not object of “wonder”, but an interrogative clause (embedded question) functioning as complement of "wonder" (or complement of "about" if it is included).

That's exactly what I was wondering, thanks. But please tell me something—in I don't know what made him go to Paris, is the wh-clause object of the verb know? Can wh-clauses ever be considered DOs? I mean, semantically, they're certainly arguments, right?
 
in I don't know what made him go to Paris, is the wh-clause object of the verb know? Can wh-clauses ever be considered DOs? I mean, semantically, they're certainly arguments, right?

No: it's the same construction as the OP's example, a subordinate interrogative clause functioning as complement of "know".

-wh expressions can be objects when they are noun phrases (as opposed to clauses) in fused relative constructions. For example:

I’ve eaten what you gave me.

where "what you gave me" is a noun phrase. The meaning is the same as the non-fused I’ve eaten that which (or the thing(s) which) you gave me.
 
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