Both would essentially be right. I would phrase it
Pensaba que quiero de comer pizza
Estaba pensando que quiero de comer pizza
You want to put the “de” preposition before comer. Unfortunately, there isn’t really an English equivalent you can translate it to. The closest would be to think of “de comer” as the actual verb in most cases.
Expanding on netguile’s comment, yes, it would be “Estaba pensando en comer”. I know it must seem I already contradicted myself, but when you use “pensar” a lot of times it’s looked at as “pensar en” “to think on” and would generally translate as “I was thinking of eating |something|” or just as easily “Estaba pensando en comer pizza” “I was thinking of eating pizza”.
Of course if I’m wrong feel free to correct me. It’s really awesome when you learn new phrases. Especially ones that you know you could use very regularly in everyday life. Great work! You’re doing awesome!