The correct option is
C That
In order to combine the two sentences, we need a relative pronoun. Let's first understand what relative pronouns are. Relative pronouns are pronouns, used to link/combine clauses or phrases in a sentence.
For example, 'I don't know who you are.' Here, 'who' is used to connect the phrase 'I don't know' with the rest of the sentence. Also, 'who' connects the clause with 'you' here.NOTE: The word 'This' in both the sentences indicates that the sentence is demonstrative and we need a demonstrative relative pronoun.
Option A - 'Who' is used as a relative pronoun for people. As the sentences are about 'roads' we can't use 'who' here. Hence, option A is incorrect.
Option B - 'Whose' is used as a relative pronoun to show possession of a noun or a pronoun. As the given sentence doesn't indicate any possession, we can't use 'whose' here. Hence, option B is incorrect.
Option D - 'These' is a pronoun, which is the plural form of 'this'. 'These' is used to demonstrate plural subject/object and it is used to demonstrate a thing/person that is close to hand. As the 'road' is just a demonstration and not close, we can't use 'these'. Hence, option D is incorrect.
Option C - 'That' is a relative pronoun, that is used to demonstrate a person or a thing that is not close to hand. Hence, option C is the correct answer.
'This is the road that leads to Delhi.'