Simple past/ would

The second one could be purely hypothetical, as in "he didn't say where he would go if the alarm sounded." In the first one, though, he has already gone someplace; he just didn't say where.

Thank you for your answer. To be honest it is still difficult to tell the difference between the two. Could you give us some more examples. Thanks in advance.

whether the word would is used in present tence?

Hmm... he couldn't imagine where they were taking him to -- he was being kidnapped and was already in the trunk of a car being taken someplace, but where?
He couldn't imagine where they would take him to -- he had been kidnapped but was being kept in a room someplace; it was obviously temporary, because the kidnappers seemed very nervous about being seen. They would have to ta

Any difference in meaning?

Yes. It is the difference between "was going" and "would go".

"was going" is in the real world; "would go" is in an alternate, imagined world.
"was going" does not imply, therefore, any unstated conditions, and "would go" does imply unstated conditions describing the alternate world.

Where was he going? - He