When the morning arrived is a very common phrase.
When the morning occurred is very uncommon. I don't think I've ever heard this phrase before, and it sounds pretty awkward to me.
When the morning happened is also uncommon, but is used in certain situations informally to mean that a big event or series of events occurred. For example, if you had a very busy morning filled with unusual events (say you got an unexpected promotion at work but then your car broke down in traffic), you could look back on your day and say, "Morning happened." In this case, you would leave out the article "the," so it doesn't seem like this option is the correct answer.
When the morning came is also commonly used, but probably not as common as "arrived."
I would say "arrived" or "came" are both acceptable, but "arrived" is a little more common and is probably the answer they are looking for. But this is not a good question they ask, considering there are two viable options.