(B) Capillaries
The smallest blood vessels whose walls are one-cell thick are called capillaries.
The passage directly states: "The smallest vessels have walls which are one-cell thick and are called capillaries." Alveoli are air sacs in lungs (not blood vessels); arteries and veins have thick/multi-layered walls. Only capillaries are one-cell thick.
Source: Life Processes, Section 5.4.1 — The tubes: blood vessels