In english we can say: "yadda yadda yadda, and then appeared a man
saying I'm kahless".

Could we do something similar in klingon, by writing: {yaDDa yaDDa
yaDDa, 'ej ghIq narghpu' jatlhbogh nuv, qeylIS jIH} ?

I feel there's something weird in the klingon version of that
sentence, but I don't know exactly what that is.

I wouldn't do that. I prefer to avoid building sentence-as-object constructions out of dependent clauses.

ghIq nargh nuv; jatlh qeylIS jIH.
And then a person appears and says he's Kahless.

Remember that Klingons don't mind jamming related ideas next to each other to demonstrate their link.

-- 
SuStel
http://trimboli.name