If you're interested, here's how this kind of sentence is analysed.
"I am not sure why this happened".
The underlined constituent is sometimes called a noun clause. But it's more correctly called an 'indirect (or 'embedded') question'. I'll explain:
(1) "Why did this happen?" (main clause)
(2) "I'm not sure why this happened". (subordinate clause)
Example (1) is a main clause being used to directly ask the question. However, (2) merely expresses the question, but does not itself ask it. Usually, it can be glossed with the formula "the answer to the question". So in your example, we get:
"I'm not sure of the answer to the question 'why did this happen?'"
The embedded question (i.e. the underlined subordinate clause) in (2) functions as complement of the adjective "sure".