A choice has to be made in speech, as well. And, as there is no one clear correct answer in speech, and the choice in writing is based on the choice in speech, there is no one clear correct answer in writing. Choose one, and use it consistently within a given work, and you should be fine.

Of course, if its a work on SQL, you can normally avoid "a(n) SQL query" and just say a "a query" (with SQL implicit from context) or, in the less-common situation where you need to distinguish it from a query in a different query language, "a query in SQL".