How can I create a concatenated message in a SQL Server throw?

You cannot concatenate strings inside a THROW statement.

What you need to do is create a variable and assign your whole error message to it:

DECLARE @Message NVARCHAR(100)
SET @Message = N'Question result is ''' + @CurrentResult + '''. It should be unmarked or incorrect?'

IF (@CurrentResult != 'N' AND @CurrentResult != 'F')
    THROW 50002, @Message, 1

Edited to reflect setting message variable first:

DECLARE @Message varchar(100)
SET @Message = 'Question result is ' + cast(@CurrentResult, varchar(100)) + '. It should be unmarked or incorrect.'

IF (@CurrentResult != 'N' AND @CurrentResult != 'F')
    THROW 50002,@Message,1

Casting to varchar will keep the text value of whatever @CurrentResult is. Set the size accordingly.