The correct answer is: 'were going'.
Explanation:
This sentence uses both past continuous and past simple tenses. We use the past continuous tense to show that an action was in progress at a specific time in the past. The 'when' clause, indicates the start of another action, which occurred in the past simple tense ('met'). Therefore the appropriate form for 'to go' would be 'were going'.
The completed sentence is: 'They were going to the cinema when they met me.'