This is a case where the best answer is none of the above. This sounds like an attempt to be arty. Say instead: He headed to the West.
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Seoul BrotherIt was to the west that he headed.It is a so-called "cleft" stucture, so not a standard relative clause where a noun is modified (like "the coat that I was wearing", for instance). However, some sources do still seem to use the term "relative clause" or hedge a little by calling it a "kind of relative clause".
Seoul Broth