Magnesium increase in weight by burning in air.
When magnesium(Mg) ribbon is burned in the air (with oxygen gas) it forms magnesium oxide (MgO). This is a new compound formed according to the reaction,
2Mg(s)+O2(g)⟶2MgO(s)
If we measure the mass of magnesium oxide formed its mass is more than that of magnesium ribbon because the mass of oxygen gas is gets added with magnesium metal and also MgO is formed as rust whose mass can be measure.
If we burned wood, paper, or candle in the air they form gaseous products, and hence their mass can not be measure.
Hence, option B is correct.