Step 1: Find the magnetic field at 10 cm from a long straight wire:
\[B=\frac{\mu_0 I}{2\pi r}=\frac{(4\pi\times10^{-7})(4.00)}{2\pi(0.10)}=8.0\times10^{-6}\,\text{T}.\]
Step 2: Compute the magnetic energy density:
\[u=\frac{B^{2}}{2\mu_0}=\frac{(8.0\times10^{-6})^{2}}{2(4\pi\times10^{-7})}=\frac{6.4\times10^{-11}}{2.513\times10^{-6}}=2.55\times10^{-5}\,\text{J/m}^{3}.\]
Step 3: Multiply by the volume \(V=1\,\text{mm}^{3}=1\times10^{-9}\,\text{m}^{3}\):
\[U=uV=(2.55\times10^{-5})(1\times10^{-9})=2.55\times10^{-14}\,\text{J}.\]
Step 4: This matches option (A).
\[\boxed{U\approx2.55\times10^{-14}\,\text{J}}\]