Step 1: What to find.
We must spot the one pair that is wrongly matched. Three of the pairs are correct facts and one is false.
Step 2: Recall the insect gut layers.
The insect alimentary canal has three parts. The foregut and hindgut both come from the ectoderm, so they have a cuticle lining. The midgut comes from the endoderm and does the real digestion and absorption.
Step 3: Check each pair.
Foregut lined by ectoderm is correct. Midgut lined by endoderm is correct. Rectal papillae helping to conserve water is correct, as they reabsorb water from waste.
Step 4: Find the odd one.
The pair hindgut lined by mesoderm is wrong, because the hindgut is actually lined by ectoderm, not mesoderm. So this is the mismatched pair.
Step 5: Confirm the option.
This mismatched pair is option 3.
Step 6: Conclusion.
Therefore the correct answer is "Hind gut - lined by mesoderm". \[ \boxed{\text{Hindgut - mesoderm (mismatch)}} \]