The correct option is A Why he left is a mystery.
A Complex Sentence consists of one principal clause and any number of subordinate clauses.
A Noun Clause is a subordinate clause which does the work of a noun in a complex sentence.
In this case,
Option A is correct. The subordinate clause why he left acts as the subject of the verb is in the principal clause. A subject is always either a noun or a pronoun. Henceforth, why he left is a subordinate noun clause as it behaves like a noun.
Option B is incorrect as the sentences have been joined by using a subordinate adjective clause.
Options C and D are incorrect because they are simple sentences and not complex ones because they are devoid of any subordinating conjunctions.