The correct answer is Option A) Egypt
While correctly associated as part of the Arab world or the 'Middle East', Egypt is geographically located in North Africa.
It borders Israel and consists of the famous Nile River. The country is close to many other 'Arab' countries that form part of North Africa including, Tunisia, Morocco etc.
On the other hand, Mesopotamia is generally identified with the modern-day country of Iraq. Which is also arab, but is located in Asia, not Africa.