There are a couple of reasons why you might use “sic” in indirect speech. For example: “The President said that he was looking forward to visiting Riga, the Lithuanian (sic) capital.” There are other ways you could present this, but you certainly couldn’t change “Lithuanian” to “Latvian” without misrepresenting what the President actually said.
(Any resemblance to the understanding of European geography of any actual Presidents, living or dead, is purely coincidental.)