To the best of my knowledge, Indirect Speech is being annotated in the following corpora:

[1] The Helsinki Corpus of English Texts (1991). Department of English, University of Helsinki. Compiled by Matti Rissanen (Project leader), Merja Kytö (Project secretary); Leena Kahlas-Tarkka, Matti Kilpiö (Old English); Saara Nevanlinna, Irma Taavitsainen (Middle English); Terttu Nevalainen, Helena Raumolin-Brunberg (Early Modern English)

[2] Proceedings of the Old Bailey, Old Bailey Online. The speech markup is being carried out by the University of Giessan, Project Website