Ambiguous, I guess? (When did he say that he would come? or When, according to him, would he come?)

+1

"he" refers either to him(self) or to someone else.

It's not really very ambiguous, if at all.
If we were talking about 2 different people, we'd normally be more specific like in the following.
When did he say Tom was coming?
[#3662341] When did Tom say Mary was coming?
[#3662343] When did Tom say Mary would come?

I was rather pointing at
When did he say [he would come]?
vs
When [did he say] he would come?

The first interpretation looks unusual but quite possible, no?

In other words, which answer is appropriate for this question? Are both options possible?

Q: When did he say he would come?
A1: He said he would come at 2:30.
A2: It was yesterday when he said this.

+1

I can't imagine any native English speaker asking this question to elicit an answer like A2.
I know for sure that I wouldn't.

Suppose you actually want to know for whatever reason the time when that sentence was uttered. What would you ask then?