Sally found (what） they said was right.
宾语从句如果是陈述句,就用that来引导；that 不充当句子成分；有时还可以省略.
宾语从句如果是一般疑问句,就用 if/ wether 来引导；
宾语从句如果是特殊疑问,那么特殊疑问词要放在宾语从句的句首,后面+陈述句的句序.特殊疑问词在从句中做成分.
本句中,宾语从句they said was right 缺乏宾语成分,所以我们用疑问代词what 来替代,把它置在宾语从句 的句首.
例如：
I know that you like music.
I don't know if he will come.
I don't know what his name is .