Can section, subsection, or sub-subsection headings be formatted as questions in a master's thesis? (not all of them at the same time)
This likely a matter of personal taste. There is no definitive rule or style guide that applies to every Master's thesis written in the world. Your department or university may have its own guidelines, but I doubt the formatting you suggest would be prohibited.

Write the section titles as questions and send the draft to your supervisor. They might recommend you change it, but if they're not in the same university as you they will probably also tell you to ask someone local who will know if there are any guidelines that you should follow. That person may be your personal tutor, department head, course director, librarian, or academic skills tutor.

Often this type of information is also available on your institution's website or virtual learning environment.