In reported speech, when the reporting verb (exclaimed) is in the past tense, the tense in the reported speech usually shifts back one step. So, "have" becomes "had" in the reported speech. Therefore, option (C) "she had never been" is the correct one.
In reported speech, we often backshift the tense of the original sentence. This means that we move the tense back one step. So, present perfect becomes past perfect. Here's the rule:
Present Perfect -> Past Perfect
Auxiliary Verb "have" (from present perfect) -> "had"
Main Verb "been" (past participle of "be") remains the same.