I'm not aware of a built-in way to test your OQL.
That said, there is a Java method in the API: retrieveOQLDataTable that can run an OQL query passed in as a string. You could use this in a custom Java action, which you could hook to a page and test your OQL at runtime.
Make sure you secure access to this page, as it would technically allow you to query any data from your application's database.
Set the OQL log node on trace
Reporting for Mendix From the appstore has a test tool/page.