Final answer:
The correct sentence is: He said "I think we are going to be late," but I didn't believe him.
Step-by-step explanation:
The sentence that uses quotation marks and commas correctly is:
O He said "I think we are going to be late," but I didn't believe him.
In this sentence, the quotation marks are used to indicate the exact words spoken by a person. The commas are used to separate the spoken words from the rest of the sentence. This is the correct punctuation when using direct speech.
Learn more about Quotation marks and commas in direct speech