A's question asks where and B answers it in the first part of 'his' sentence. So it would be odd to add 'where she threw that party'.
"when" sounds more natural to me. B is adding a 'when' answer after answering the 'where' question.
Others may disagree, and perhaps this is not a good test question. But if everyone chooses "when", it is a good question.
People have a strong tendency to give more information than they are asked to give.
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