Question

he said to me ," i am going to delhi (direct/indirect)

Answer 1

Heya .....
It is in Direct speech ......
He told me that he is going to Delhi....(⬅Indirect speech)

Answer 2

It is direct speech and indirect form is he said me that he is going to delhi.

This exact words of Sohan are put within inverted commas with the called the direct Speech.

We can substance of direct speech.

The pronouns of the second person with reported speech change according to the object of the reporting verb.