Is it correct to use the modal verb ‘used to’ in subordinate clauses? For example, could I say, ‘When we used to go to New Delhi, my father and I would shop for music CDs’? Or must I reserve it only for the main clause and change my sentence to something like, ‘When(ever) we went to New Delhi, my father and I would shop for music CDs’?
The usage is a bit off. "when we used to go to New Delhi" has the primary meaning of "the time in which we would habitually go to New Delhi", rather than "each time that we went to New Delhi" as you apparently mean. So it's not incorrect in general to use "used to" in subordinate clauses, but in this particular case it doesn't match the meaning you apparently intend.