In Spanish the use of prepositions with relative pronouns (que, quién...) is sometimes different to English. As you mentioned before, in English you may say "To think of/about someone" however in Spanish we say "Pensar en alguien", literally "to think in someone". This is why the right answer to that question is "¿En quién estás pensando?". (A possible answer to this question could be: "Estoy pensando en María").
I hope this clarified it.
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