Question

e.g. Tell me what you want.

1. Tell me. + What do you want?

2. Tell me the thing. + You want the thing.

(What is the part of speech of 'what'? Does 'what' come from #1 or #2?)

Answer 1

'what' can be either an interrogative pronoun or a relative pronoun. Here, it's the first one.

Answer 2

I should explain more.

The word 'what' is introducing an indirect question in this sentence; therefore it is an interrogative pronoun.
http://grammar.ccc.commnet.edu/grammar/pronouns1.htm#interrogative