Правильный вариант - They said (that) they were going to visit their parents on Sunday.
Объяснение:
В прямой речи используется Present Continuous (are going), который при переводе в косвенную речь меняется на Past Continuous (were going). Также, местоимение 'we' меняется на 'they', а 'our' на 'their'.
Таким образом, правильный ответ:
They said (that) they were going to visit their parents on Sunday.