If you start the sentence in the past tense, you have to answer in the past. So, the first and third statements are correct, because 'was working' is past continuous. Whether you use 'me' or not, is a matter of choice. Either is correct. 'Me' is often understood when you say the phrase 'when you phoned', at least in the cellphone-era, so it can be left out without losing any meaning. If you are talking about a landline which reaches an entire office or an entire house, that would be different, so you would definitely not use the word 'me'.

当你发你电话给我时，我正在