do support - May I omit "do" in a dependent clause?

In a sentence like this:

Many people realize that they didn't do any wrongdoings, so they cannot understand why they have to be punished.

or

Many ..., so they cannot understand why do they have to be punished.*

Which sentence is right?

I know in an independent question like "Why do you fight?" we cannot omit the "do". But in a clause like the example I gave above, may I omit the "do"?