Got this online... "Speakers Don’t Commonly Use! These six contractions are grammatically legal, but they are not commonly used in either speaking or writing. Where’d (where had) Why’d (why had) When’d (when had) Why’d (why would) What’d (what would) When’d (when would) These six contractions are uncommon for a simple reason. U.S. English speakers prefer using them to express questions with the past tense form of “did,” like this: Where’d (where did) Why’d (why did) When’d (when did) Why’d (why did) What’d (what did) When’d (when did)"

Why'd they say that = Why did they say that. Why'd is a contraction between why and did. I hope I could be of some help! ^^