Which of the following species has an enthalpy change of formation = 0 kJ/mol?
The correct answer is indeed c. $\ce{Na(s)}$

Since for the heat of formation to be zero, the molecule should be the must abundant chemical formula of the element.

$\ce{Na}$ is a metal and is predominantly found in solid state (I dont think it exists as gas anywhere in the atmosphere of earth).

$\Delta_\mathrm{f}H^\circ$ is a quantity which is taken relative to the heat of formation of the most abundant naturally occuring form of an element.