The correct option is B That you should say so surprises me.
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 B is correct. The subordinate clause that you should say so acts as the subject of the verb surprises in the principal clause. The subject is always either a noun or a pronoun. Henceforth, the subordinate clause that you should say is considered to be a noun clause as it behaves as a noun.
Option A is incorrect as it is a simple sentence devoid of any subordinating conjunction.
Option C and Option D are incorrect because they are completely irrelevant to the actual context. They do not suggest the same sense as that of the question. They are again simple sentences.