The correct option is C Membrane of megaspore
Embryo sac is formed from megaspore. The megaspore enlarges and its nucleus divides mitotically to form two daughter nuclei which further undergo 2 mitotic divisions to form 8 nuclei. These 8 nuclei then get arranged in egg apparatus, central cell and antipodal cells to form a 7-celled but 8-nucleate structure, the embryo sac.
Since, embryo sac is formed within the megaspore, it is surrounded by the wall which infact is the membrane of the megaspore.
So, the correct answer is C.