The correct option is A He says that he won't go.
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.
Option B is correct. In the sentence, He says is the principal clause. That is the subordinating conjunction which introduces the subordinate clause that he won't go. The subordinate clause is acting as the object of the transitive verb says, and an object is always a noun or a pronoun. Henceforth, the subordinate clause is a subordinate noun clause.
Option A is incorrect as the sentences have been joined by using an adjective clause.
Options C and D are simple sentences and not complex sentences.