The version of fldigi on Raspbian Jessie is too old and does not have FSQ mode. You need to download it from here and compile it:
- sudo apt-get build-dep fldigi
- make install
In addition to being an old version, GQRX in the Raspbian repos also did not work. However there is a binary installer that can be found here.
To connect these two up, you will need a loopback sound device. Add a line with 'snd-aloop' to /etc/modules