1. He said to me,"Where do you live?"

Question

2. He asked me where I lived.

3. He said, "Where is the key?"
4. He asked where the key was.
(Is #4 grammatical?)

Answer 1

1. He asked me,"Where do you live?"
2. He asked me where I lived.

3. He asked, "Where is the key?"
4. He asked where the key was.

[Yes, #4 is fine.]

Answer 2

Thank you for your help.

1. He said to me,"Where do you live?"

(is this expressions wrong?)