How well are you familiar with the expression let alone? If you know how to use this expression, you will understand why you were wrong in choosing D as the right answer. I have never done A, let alone, B can be paraphrased as follows: I have never done A and it is even more true that I have never done B. With that in mind, let's go through all possible choices and see which one makes more sense.
I had never left the state and it is even more true that I had never left departing from the country.
Does left departing from the country sound like good English to you? I hope it doesn't. So, that one can be discarded.
I had never left the state and it is even more true that I had never left from the country.
Well, you don't leave FROM something. You usually leave something: a country, an organization, an association etc. This one is not going to work either.
I had never left the state and it is even more true that I had never left depart from the country.
Again, left depart sounds like total gibberish.
I had never left the state and it is even more true that I had never left the country.
Wouldn't you agree that finally this one does actually sound like good English? That's why B is the correct answer.