AZBY, CXDW, EVFU, ?

AZBY:

A is the first letter in the alphabetical series. It is followed by the first letter from the last, Z.
B is the second letter in the alphabetical series. It is followed by the second last letter, Y.

The next term starts with 'C', the letter following B.

CXDW:

C is the third letter from the start and X is the third letter from the end.
D is the fourth letter from the start and W is the fourth letter from the end.

The next term starts with 'E', the letter following D.

EVFU:

E is the fifth letter from the start and V is the fifth letter from the end.
F is the sixth letter from the start and U is the sixth letter from the end.
Logically, the next term must start with 'G'.

G is the seventh letter from the start. The seventh letter from the end is T.
H is the eighth letter from the start. The eighth letter from the end is S.
Therefore, the next term must be GTHS. Hence, option C is the right answer.