This is a great little trick. I googled who whom and found the following link: http://web.ku.edu/~edit/whom.html

You can use this trick in the original q by taking the words after the who/whom and forming a sentence with either he/she=who or him/her=whom. So:

"... They say HE has continued to appear"

so proper use is WHO

Hope this helps

In June, 1981, six teenagers in the village of Medjugorje, Yugoslavia, claimed to have had visions of the Virgin Mary, who they say has continued to appear to them over the ensuing years.
(A) claimed to have had visions of the Virgin Mary, who
(B) claimed to have visions of the Virgin Mary, whom
(C) claimed to have had visions of the Virgin Mary, whom
(D) claimed to have visions of the Virgin Mary, who
(E) had claimed to have had visions of the Virgin Mary, whom

why not D?