Final answer:
The correct direct object pronoun to use is 'la' as it represents the feminine noun 'Sophie' in the sentence.
Step-by-step explanation:
The correct direct object pronoun to fill in the blank in the dialogue is la. The sentence 'Oui, je appelle.' should be changed to 'Oui, je l'appelle.' The pronoun 'la' is used because the direct object being referred to is feminine, and it replaces the noun 'Sophie'.
Learn more about Using direct object pronouns in French