Also "we were going to say something" seems correct, is it not? Reported anyway
I think this lesson is supposed to be very specific. Sentences formed this way can only mean "We were about to say something" or "We were saying something". That's what I got out of it anyway.
If "about to say something" is one translation then "just saying something" should be another. Continuois present
Come on, guys, fix this module. "Going to" and "about to" are utterly interchangeable.