Answer:
Andrea and Heather
Step-by-step explanation:
A participial phrase refers to a group of words made up of a participle and other words (the modifier & it could also include a noun(s), a noun phrase(s) or pronoun) which serves as the complement of the object (the receipient of the action)
Thinking that the rally started in the evening, Andrea and Heather planned to spend the first half of the day at the beach
The participial phrase is the portion highlighted above "Thinking that the rally started in the evening"
The participial phrase functions as an adjective modifying the nouns ‘Andrea and Heather’