The 8th and 13th Dramatic Situations of Polti include this element when they're developed. 8th is Conspiracy, and from the point of view of the element conspired against, there is the Enigma of who is trying to make it suffer.
The 13th (Enmity of Kin) can be either a conspiracy from one kinsman to another or several reciprocal conspiracies. In the first case, the conspired against is living an Enigma as well as the Conspiracy of its own.
The Interrogator does not need to be known and often isn't. In crime investigations, the Interrogator is the culprit. In cases like that, the Interrogator's identity, motives, etc are the very enigma.
If the Interrogator is known then either it doesn't know the solution or it can't be forced to reveal it. If the sphinx poses a problem to the PCs, they need reasons not to beat the sphinx until it says the answer. If the woman a PC loves poses a riddle as condition to marry him, they won't force her, although the PC could get frustrated with her and stop wooing her.
PCs as Interrogator
The Enigma story is about solving the enigma, so PCs are in the receiving end. Written from the point of view of the NPCs, the PCs actions could be an enigma, but the PCs are not the ones living it, so it's not a RPG story.
Seeker, PCs as Seeker
Since PCs shouldn't be the Interrogator, this is all about the PCs.
The Seeker needs access to clues to solve the enigma. In a lot of classical games this was linked to roll successes and/or correct interpretations, which often ended in PCs unable to solve the case. To avoid this, consider first several ways to get to the same discovery, to minimize the probability of PCs losing it completely. Second, consider what 13th Age calls "Fail Forward"; that means that a failed roll doesn't mean nothing happens, but
- The PCs get the information, but there are additional complications: the adversaries know of them, takes measures to learn their strength and make resolution or combat more likely or dangerous
- The PCs get three facts about the information, one of them is true, the other two are false.
The solution of the Enigma may reveal the culprit of some crime, developing into a Pursuit or a Vengeance.
If the Enigma consisted in where is something the PCs are looking form, it had an underlying Ambition that now can really take place.