Step 1: Identify the type of sentence.
The given sentence consists of two independent clauses. We need to combine them into a complex sentence.
Step 2: Combine the sentences.
In a complex sentence, one of the clauses will depend on the other. The easiest way to do this is by using a relative pronoun like "that" to join the clauses.
Step 3: Final Conversion.
Thus, the correct complex sentence is: "Sheela did something that no one knew."
Final Answer: \[ \boxed{\text{Sheela did something that no one knew.}} \]