Rewrite the sentence in the direct speech.
Sanjay said that he was going to Delhi then.

Correct option is A

The correct option is (a) Sanjay said, "I am going to Delhi now".
Tense change: "Was going" in indirect speech becomes "am going" (present continuous) in direct speech.
Pronoun change: "He" becomes "I" to reflect Sanjay’s first-person voice.
Time clause change: "Then" changes to "now" as "now" is used in direct speech for the present moment.
The direct speech captures Sanjay’s immediate action of going to Delhi, with the appropriate tense and time clause shift.
Corrected sentence: Sanjay said, "I am going to Delhi now".