I heard a story about Sai Baba and a sweet called khaja. Can you tell me how he fulfilled a devotee's wish for it?

Yes, this leela involves a devotee named Laxmichand. As narrated in Chapter 28, Laxmichand once received a little khaja as prasad and enjoyed it so much that he wished for more the next day, but didn't get any. On the third day, a wonder occurred. When devotees asked Baba what food offering to bring, He specifically requested "a plate full of khaja." Later, Baba announced he felt like having khaja prasad and it was served to everyone. Baba even voiced Laxmichand's specific feelings of hunger and back pain, saying "Hunger has come, that's good... Now the wind of khaja has blown," thus fulfilling the devotee's unexpressed desire and demonstrating His omniscience.