The correct option is
A had been
The verb in the main clause, 'They wanted to know' is in past tense. Hence, the subordinate clause which follows it also refers to an event or action which happened in the past.
Option A is incorrect as it is not in past tense. It is in present perfect tense (have+past participle of the verb, 'be').
Option B is correct as it is in past perfect tense (Had+past participle of the verb, 'be').
Option C is incorrect as the verb, 'am being' is in present continuous tense. It is not in the past tense.
Option D: The verb 'was being' is in past continuous tense. However, the auxiliary verb, 'was' is used along with a singular subject. In the given sentence, the subject, 'they' is in plural form. Hence the use of the auxiliary verb 'was' is incorrect. Hence, this option is incorrect.