When I add the comments to each node in a Views content list am I creating a n+1 database query problem?
You are creating a n+1 select problem, but you would do that if you created a list of full nodes since extra queries will happen on every full node display.

This isn't necessarily problem though, as you probably don't want to display 100 or 1000 nodes this way, but instead use a pager. When using a pager, n will never be more than your pager count which could be something like 10 or 20. 10 or 20 queries is not ideal but hardly a problem either unless you need to run a very high performance site, but if that were the case, you probably wouldn't use views anyways.

Views has some cache options which could be used to optimize, and reduce all of the queries to a single query on the cache instead. That is an easy of increasing performance.