There is no grammatical error. (They mean it must be L1 but not L2...... OR it must be L2 but not L1)
But by option D they want to say either option A or B.... so answer is D.
but why there will be the union of two languages?
I) Either L must be {an | n is odd}, or L must be {an | n is even}
II) L must be {an | n is odd || n is even}
I and II are not same.