According to "A glossary of English Grammar" by Goeffrey Leech:
"The wh-words are: who, whom, whose, which, what, how, when, where, why."
In the paragraph where Leech defines the term conjunction he gives some examples of subordinating conjunctions:
"In practice, 'conjunction' refers to two rather different classes of words: coordinating conjunctions (and, or, but and sometimes nor) and subordinating conjunctions (if, when, because, and so on)"
In the following example sentences, the subordinate clauses in square brackets begin with wh-words. Are the wh-words (what, where, when, which), which begin the subordinate clauses, conjunctions or not? Or can they be considered as conjunctions?
[What you do] does not concern me.
I didn't ask [where you live]
I’ll phone you [when I arrive].
She told me a story [which made me laugh out loud]
Edit:
In "Practical English Usage", the author Michael Swan uses the term "Interrogative conjunctions":
Interrogative conjunctions like who, which, what, where, whether can follow prepositions.
-We discussed the question of [who to appoint as manager].
-I may be able to come: it depends on [which day you are holding the meeting].
-They were not at all interested in [what I thought].