I heard they went skiing in the mountains last winter.

应该选C,因为从时态来看 “last winter”是过去时态,这句话是过去时态的虚拟语气,动词形式应该用过去时,所以选择C.
从另一个角度讲,这句话的陈述句是“I heard they must be went skiing in the mountains last winter.” 动词形式是“must be”,它的否定形式是固定的“couldn't be ”.
而“mustn't be”的意思是“不必的,不应该的”与题意不符.