To make a question in English you usually need one of the auxiliary verbs to do, to be, or to have. Each of these auxiliaries requires a different form of the main verb.

• to do: infinitive or base form: Do you like me? What did you say?

• to be: present participle: Are you going to the party? What were you thinking?

• to have: past participle: Have you seen Joe? What have you done?

So on this basis your first sentence is correct, but your second sentence is not. This is because it puts the auxiliary to be with the past tense (or past participle) of say, which is not possible.

To make a question in English you usually need one of the auxiliary verbs to do, to be, or to have. Each of these auxiliaries requires a different form of the main verb.

• to do: infinitive or base form: Do you like me? What did you say?

• to be: present participle: Are you going to the party? What were you thinking?

• to have: past participle: Have you seen Joe? What have you done?

So on this basis your first sentence is correct, but your second sentence is not. This is because it puts the auxiliary to be with the past tense of say, which is not possible