One important thing you mentioned is that these types of clauses do not constitute questions. The question word at the head of these clauses has the function of determining what they talk about. In the given example, the clause introduced by weshalb talks about a reason. In fact, the example could easily be reworded.
Die Reise lies zu wünschen übrig, weshalb ich diese Beschwerde verfasst habe.
Die Reise lies zu wünschen übrig. Deshalb habe ich diese Beschwerde verfasst.
As the paraphrase indicates, deshalb (and similarly weshalb) refers to the content of the preceding sentence: the trip having been unsatisfying is the reason for writing the complaint.
It also becomes clear that this type of subordinate clause introduced by a question word is different from ordinary relative clauses in that the latter refer to some element of the preceding sentence, but not the sentence as a whole. In German grammar, they are known as weiterführende Relativsätze.
Some further examples:
Bei dem Film habe ich Rotz und Wasser geheult, was mir sonst nie passiert.
Watching that movie I was crying my eyes out, which never happens to me.
Wir sind dann doch noch pünktlich angekommen, womit ich gar nicht mehr gerechnet hatte.
We did arrive on time after all, which I hadn't expected.
Note that question words can also introduce regular relative clauses, i.e. those referring back to a noun or pronoun.
Das ist etwas, was mir sonst nie passiert.
That's something that never happens to me.
Es gab einiges, womit ich nicht gerechnet habe.
There were some things I didn't expect.