I want to say:
He says that all guests had left at the time of the crime.
Is there a way to build the sentence in conjunctive I? Or should I just leave it in indicative, as in:
Er sagt, dass alle Gäste zur Tatzeit gegangen waren.
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The pluperfect is often used to paraphrase something that another person said earlier, in an unbiased manner.
That means the conjugated form of the verb should be one that clearly distinguishes it from the form in the direct speech of the quoted person, so it becomes apparent that you are describing what the other person said but don't actually make any judgement about whether or not you believe that to be true.
I don't think there is a way to use conjunctive I in your example. If you were to use
Er sagt, dass alle Gäste zur Tatzeit gegangen seien.
then you would lose information about the correct time. (It would appear that people started leaving at the time of the crime instead of having already left.)
An appropriate form would be conjunctive II:
Er sagt, dass alle Gäste zur Tatzeit gegangen wären.
This still transports the correct time and action while making it obvious that you are just rephrasing a statement without necessarily believing it yourself.
Alas, the best solution may be to add an auxiliary adverb in order to make things even clearer:
Er sagt, dass alle Gäste zur Tatzeit bereits gegangen seien.
In this case it actually seems to work even with conjunctive I, since the adverb lets us know that things happened in the past.
Contradicting what Crusha K. Rool said I would suppose there is indeed a correct way to combine Plusquamperfect (i.e. something happened before something else in the past) and Conjunctive I (for indirect speech).
Er sagt, dass alle Gäste zur Tatzeit bereits gegangen gewesen seien.
One may argue that this is rarey used, both in oral and written communication. But this may be simply caused by the fact that we rarely are in need of such precision; one obvious exception being protocols of police investigation (as in the example).
Or is it? In dialects such as Swabian it sounds more familiar to me:
Är secht dass elle om dia Zeit scho gganga gwäsa sejed.
This again requires that the speaker feels an urge to be precise with the time relationship and with where does the information come from. In not so critical situations one would probably say something less precise such as
Är secht dass elle om die Zeit scho gganga gwäsa send.
(In standard German: "Er sagt, dass alle um diese Zeit schon gegangen gewesen sind", but it sounds really clumsy in standard German.)
Which means: the first thing to be tipped over bord is Conjunctive I for indirect speech.
Well now, this is anyway a little bit unnatural a sentence. Most probably one would say:
Er secht dass om dia Zeit koiner mee doo war.
Or in standard German:
Er sagt, dass zur Tatzeit keiner der Gäste mehr da war.
Which coincides with Crusha's conclusion that in German everyday practice just auxiliary verbs or helpful other words would be used.