Hi there!
Well, since the " the king sighed" isn't part of the dialogue, that automatically knocks out the 2nd one. And since "Oh" IS part of the dialogue, that must have quotation marks, so that also knocks out the 3rd one as well. So now we are left with the 1st one and the 4th one. But this is easy: because "Oh" isn't the full complete sentence by itself, the rule is that it requires a comma to be put into those quotation marks, knocking out the first one. WHICH LEAVES US WITH THE LAST ONE:" 'Oh,' the", which is the correct one.
Hope this helped! :)
