How do I see what the current "scope" is in SublimeText?

To determine the current scope under your cursor, Ctrl+Alt+Shift+P on Windows and Linux does the trick, Ctrl+Shift+P on a Mac.

Alternatively, run the following in the Sublime console:

view.scope_name(view.sel()[0].begin())

To bring up the console on Windows, press Ctrl+'

The scope for Markdown is text.html.markdown. I think there are several packages that help you identify the current scope, ScopeAlways is one of them.