[Grammar] "What should I do, x or y?"

[Sneymarin]

Hello, I would like to ask if the following question is grammatical (I'm asking specifically about the structure):

"What should I do, x or y?"

Or should I pose it as two questions?

"What should I do? x or y?"

If both sentences are fine, which structure is the most natural in writing?

Thank you.

 

[GoesStation]

Use the first version.

 

[Tarheel]

Say:

What should I do -- X or Y?

Or:

What should I do? X or Y?