The correct answer for the sentence given is Option C, Jenny.
The sentence has the following nouns: the prince, the horse and the jenny. Option A and Option B, Prince and Horse, are both masculine gender nouns; while the former is the male successor to a kingdom or a King’s son, and the latter is the male animal.
It is option C, Jenny, which means the female donkey which is feminine in gender, and hence is the correct answer.