Can you tell me the story about how Sai Baba knew his devotee wanted khaja?

Certainly. The story of Laxmichand and the khaja is a beautiful example of Sai Baba's omniscience. As narrated in Chapter 28 of the Sai Satcharitra, Laxmichand had enjoyed khaja (a sweet) as prasad on his first day in Shirdi. He craved it again the next day but didn't receive any. On the third day, knowing the unexpressed desire in his devotee's heart, Baba specifically instructed his followers to bring him a plate full of khaja for the naivedya, or food offering, before the noon arati. This act fulfilled Laxmichand's lingering wish and left him, along with all the devotees, in wonder at Baba's inconceivable knowledge.