"The prisoner says, "I am thirsty"."
Translation:jI'oj, jatlh qama'.
Duolingo seems not to ignore quotation marks, and will require them if the accepted sentence has them and not accept them if the accepted sentence does not have them.
I've added some versions with quotation marks.
Note that English double quotation marks (or, even worse, single quotation marks) tend to clash with the Klingon apostrophe, which can come at the beginning or end of a word and can sort of "smoosh up" to the quotes, making it less clear.
Personally, I use «guillemets» to quote Klingon, as those don't have that problem: compare «'u'» and "'u'" for "universe".
In general, Romanised Klingon may use fewer quotation marks than English -- the jatlh makes it fairly clear that the preceding or following statement is a quote.