It's an informal and colloquial phrasing, used mainly in the UK and Australia. For example: 'I went 'What's up?' and she went 'Nothing'. Is it 'right'? Well, let's say that it's no more wrong than saying 'And I was like 'Hey? and he was like 'What?'. I'd recommend you be aware of this colloquialism, but that you shouldn't try to use it yourself unless you find yourself among a group of friends who are also using it. I hope that helps.

Can you give an example please?

If you mean "right" as in standard, regular English, then the answer is no. This is a colloquial form, which means you'd only use it if you were in an informal situation and you heard it from native speakers first. It's good to know that people do speak this way, but native speakers don't always replace "went" with "said"... it depends entirely on the situation at that moment. If in doubt, use standard English.