The correct answer is D. Mycoplasma.
Mycoplasma are the smallest and simplest free-living organisms known to exist. They are prokaryotes, meaning they do not have a nucleus or other membrane-bound organelles. They are also the only bacteria that do not have a cell wall. This makes them very fragile and sensitive to changes in their environment.
Euglena are unicellular organisms that are sometimes classified as plants and sometimes as animals. They have a cell wall made of cellulose, which is a type of plant cell wall.
Paramecium are unicellular organisms that are classified as animals. They have a cell membrane, but no cell wall.
Gonyaulax are unicellular organisms that are classified as algae. They have a cell wall made of cellulose.
Therefore, the only organism that does not have a cell wall is Mycoplasma.