What type of pronoun appears in all capital letters in this sentence For WHOM did he say the package was left?

In the example sentence, the pronoun 'whom' is an interrogative pronoun, a pronoun that introduces a question.

The interrogative pronouns are: who, whom, what, which, whose.

The pronoun 'whom' is the only objective interrogative pronoun; in the example sentence, 'whom' is the object of the preposition 'for'.

Note: The pronoun 'whom' also functions as a relative pronoun, a pronoun that introduces a relative clause which 'relates' to the noun antecedent.

The relative pronouns are: who, whom, whose, which, that.

Example: The person for whom the package came no longer lives here. (The relative clause 'relates' to the antecedent 'person'.)