" Some would argue that according to "rules" there should be a comma after 'say'. To me, the comma in these cases simply separates and has no real meaning that the single and double quotes don't already indicate. This is a good case where indirect speech might be better: Mike said that he had heard Sally say that she was going to tell Dale she wanted a divorce.
New words, one handy idiom, and a 2-minute quiz — delivered to your inbox to keep your streak alive.