Main axis of a diatomic molecule is z, atomic orbitals $p_x$ and $p_y$ overlap to form which of the following orbital : -

When the molecular axis is z, the $p_z$ orbitals overlap head-on (along the axis) to form a $\sigma$ molecular orbital.
The $p_x$ and $p_y$ orbitals are perpendicular to the molecular axis. A $p_x$ orbital of one atom overlaps sideways with the $p_x$ orbital of the other atom (and $p_y$ with $p_y$), forming $\pi$ molecular orbitals ($\pi_{2p_x}$ and $\pi_{2p_y}$).
(Strictly, a $p_x$ orbital of one atom and a $p_y$ orbital of the other atom are at right angles, so their net overlap is zero and they cannot form a bond; the question refers to the $\pi$ molecular orbitals formed by the $p_x$ and $p_y$ orbitals.)
So, as per the answer key, $p_x$ and $p_y$ overlap to form $\pi$ molecular orbitals.