Should this be two sentences or one? I know second is a transition, but not sure it is a conjunction...

First he asked to who I was e-mailing second he wanted to know who had ridden a motorcycle down the alley.

Yes, it should be two sentences.

Also -- the first sentence should be correct to -- "First, he asked to WHOM I was e-mailing.

You could also separate the two sentences with a semicolon.

So Ms. Sue would Second be an interjection to be followed by a comma?

Second is not an interjection, but it should be followed by a comma.

Thank you!

You're welcome.

You could aso do

First he asked to whom I was emailing. Second, he wanted to know who had ridden a motorcycle down the alley.