"I don't understand the question."
Translation:Yo no comprendo la pregunta.
'entender' vs 'comprehender' are largely synonymous, I think 'entender' means 'to understand' while 'comprehender' translates a bit more literally to 'to comprehend'
So cuestión doesn’t mean question as in something being asked but rather as an unresolved matter. For instance, a question (matter) of). However, cuestión would work just as well if the speaker doesn’t understand the matter.