The comma at the end of a quotation isn't necessary unless it's intended to be read with a pause and no other punctuation is present. You can begin a sentence with a quotation fine, so the first one is correct. Personally, I'd write it
“You know…” she said, confused. “That wasn't in the plan. What are they doing?”
But again, I have to ask why we care. I'm a grammar nazi myself about actual usage issues, but when you get to the point of such obscure punctuation rules that we're all having to look it up, it isn't obscuring meaning and it isn't distracting to the reader.