There are two issues here: tense and number.
The preceding clause ("that no such creatures as vampires have been seen") is in the present perfect tense, and, as Kate Bunting notes in a comment, there does not seem to be any reason to use a different tense for the current clause. Therefore, answer choice B seems better.
The subject of the current clause ("[[that]] none ___ in the world") is the pronoun "none". Some people argue that "none" (being etymologically related to "one") can only be singular. In that case, only answer choice A could be correct. However, it is common for "none" to be either singular or plural. In that case, because its antecedent is "vampires" (or perhaps "such creatures as vampires"), it would be better construed as plural, so B would be better.
I'd recommend B. Whoever created the answers might be one of those people who insist that "none" must be singular.