The answer should be C, It diffuses from the alveoli into the blood.
Alveoli, also called the air sac, is the place where the oxygen we breathed in is exchanged with carbon dioxide that our body produces. Oxygen is passed into the blood in the capillaries through the process of diffusion, while carbon dioxide is diffused from the blood back to the alveoli, so that we can exhale the carbon dioxide after that.
Both a and b are not right because when we breathe in, the oxygen travels from the trachea to the bronchi, to the bronchiole, and to the alveoli, instead of directly into blood vessels like arteries, capillaries, or veins. d is also not right because the direction is wrong.
Therefore, your answer should be C.