The question is how can I turn current words into upper case in the command line. I am aware of the command window.
Simply open the command window, process the command, and get back to the command line, all inside a single mapping:
cnoremap <C-U> <C-F>gUiww<C-C>
" prevents the command-line window from remaining open after <C-C>
" works in Vim (but not in Neovim)
set lazyredraw