The correct option is
C They
In the second sentence, it is noted that the word which fills the blank space has to be a pronoun in the nominative case because it does the action of "come to see us often".
The pronoun refers to the subject in the first sentence i.e. "My grandparents'. This is in plural and third person. So we need to identify a pronoun in the nominative case, which is in plural and third person.
Option A: 'He' is in third person and nominative case. However, this option is incorrect as the word, 'he' is a singular pronoun.
Option B: 'Them' is in third person and plural. However, this option is incorrect as the word is in the objective case.
Option C: 'They' is in the third person, plural and in the nominative case. Hence, this is the correct answer
Option D is incorrect as option C is the correct answer.