Okay, straight to it since this is probably just something that can be answered rather easily. When you first arrive to The World That Never Was, there's that cutscene where Sora is fighting Roxas (and lucky people who got to play Final Mix and ACTUALLY fight Roxas *pouts*). Anyways, Roxas at one point says this:

"Why did he choose you?" or something along those lines

So whose Roxas talking about? I've never been really sure

I keep thinking Riku, but it doesn't really make sense to the story; Roxas doesn't mean much to Riku aside from being the main thing that kept Sora, his best friend, from waking up. And I don't think Roxas has any emotional attachment to him either.

Then I'm thinking maybe it's Ansem, since he wanted Sora to awake and use him to fight the Nobodies, and didn't care about Roxas' well being until just before he dies.

Or is it even something to do with the characters from Birth by Sleep O_o

So is there a real answer or is it more speculation than anything else?

I was always under the impression that the Keyblade chose its own master. Maybe I'm wrong about that, but I don't think there was ever anything said about the previous master choosing its next wielder; it simply went to whichever available person had the strongest heart. Besides, Terra was only shown wielding the Kingdom Key at all in the secret video at the end of Kingdom Hearts 2. That seems to have been retconned in Birth By Sleep (the secret trailer at the end of KH2:FM, not the game). I believe he was simply wielding a random, unspecified Keyblade in that video. I'm not even sure if it had a Key Chain, which seems to be a feature specific to the Kingdom Key itself. I don't know, maybe Terra could influence the next wielder of the Keyblade. He was watching a young Sora and Riku play on Destiny Islands in one of the scans for...whatever reason, but I am pretty sure it was stated that the Keyblade simply chooses its own master.

As for Roxas? I'm guessing he was referring to Ansem the Wise. He basically stripped Roxas of everything he had (or at least everything he thought he had) for sake of reviving Sora and using him as the Keyblade Master. It's really the only time anyone has ever "chosen" Sora over Roxas, at least that we know of according to what we've seen so far. Basically, Sora got to live out the rest of his life. He got to exist. Roxas, however, didn't, and he seemed to be under the impression that Ansem was the one who decided which of them was to remain alive and in-control. Hence, Ansem "chose Sora" over Roxas. Of course, Sora was going to wake up in a year anyway, and I honestly don't think that Ansem could control whether Roxas would continue existing or not. However, I also don't think that Roxas knew it at the time. Really, he just wanted to know what gave Sora the right to exist. I don't know if the "who" was really important, even to Roxas; he was just asking what he lacked and Sora had.

Really, I don't think Terra is likely at all. In fact, now that I start thinking about it, it's pretty well impossible. When KH2 was first released, we don't even know if Nomura knew what he was going to do with Terra's character. His existence itself was only subtly alluded to, and it wasn't until KH2:FM that we see any semblance of involvement in the plot on his part. Even then, it was an optional boss battle that may or may not have even been canon. Aside from the fact that he didn't actually wield the Kingdom Key, how could Terra have possibly orchestrated the events that lead up to Roxas existing at all? He would've had to have planned for Destiny Islands to get sucked into the darkness, Kairi's heart to be taken in the process and taking residence in Sora's body, Riku obtaining a fake Keyblade with the power to unlock hearts, and Sora using that Keyblade to release Kairi's heart and, in the process, turning himself into a Heartless. Based on the dialogue we've seen written for him so far, Terra comes across as a pretty nice guy. I really don't think that he'd orchestrate the destruction of an entire world, the stealing of an innocent girl's heart, an evil Keyblade being created, and an innocent boy being forced to turn himself into a Heartless all for the sake of bringing out his "preferred" Keyblade Master. Besides, how could he pull off something like that at all?

If you were referring to Roxas asking why Terra chose Sora over Riku...I don't see why he'd even think to ask that. He didn't even exist for most of KH1. He wasn't around to see the events that unfolded leading to Sora being chosen as the Keyblade Master. Roxas only ever saw Riku with the Way to Dawn. He had no way of knowing that Riku had ever even held the Kingdom Key in his life. Aside from that, it's not exactly the sort of questions I would be asking if I were inevitably going to fade out of existence altogether in the near future, but that's just me, personally. Roxas was definitely asking something in relation to himself. If he had any random, miscellaneous questions about Sora's journey, I'm pretty sure they'd be a bit lower on his priority list, given that he was fighting for his existence itself. That being said, he was most likely referring to Ansem, because he actually "chose" to use Sora for his own devices rather than Roxas...or at least that's what Roxas thought.