A participle is that form of the verb which partakes of the nature both of a Verb and of an Adjective.
A participle phrase will begin with a present or past participle. If the participle is present, it will dependably end in ing. Likewise a regular past participle will end in a consistent ed.
Since, all phrases require two or more words, a participle phrase will often include objects and/or modifiers that complete the thought.
Participle phrases always function as adjectives,adding description to the sentence.
In this case,
Option D is correct. The participle phrase, 'Eaten by mosquitoes' modifies the pronoun 'we'. The past participle 'eaten' introduces the participle phrase.
Option A is incorrect as 'that we had made hotel' is a clause having its own subject and predicate.
Options B and C are incorrect as they are devoid of any participle.