I have that problem to. I usually think of a question to ask or i don't understand something perfectly and I would never ask anything about it because I would feel dumb.
As other people have said don't be afraid to ask questions but I'll put a rider on that.
Years ago when I did my Territorial Army ( our equivalent to National Gaurd) training the Regimental Sargeant Major told us "Before asking a question make sure your parachute is strapped on". What he meant by this was it is fine to ask a question but make sure you think about the question before you ask it. This is in case you already know the answer but hadn't realised. There's nothing worse then asking a question then as the last words leave your lips you know you already know the answer.
But don't be afraid to ask questions and as someone else has pointed choose your timing. Like for example in the middle of a pack-in might not be a good time to ask a "why question" but asking "how to do it questions are ok". Then later when you are waiting around for the actors to turn up might be a good time for the "why" question..
So don't feel dumb about asking questions.