1 Call to the Netherworld and Gray Merchant of Asphodel are discarded by Avatar of Discord
2 Call to the Netherworld enters exile and hits the stack. Click OK to pass priority.
3 Opponent OK's Call to the Netherworld, no interaction. Call to Netherworld's Madness trigger resolves.
4 "Would you like to cast Call to the Netherworld? (Click the card to cast.)" Only option is "No." Call to the Netherworld is no longer in Exile or in any game space where I can see it or click on it in order to choose to cast it during this step. No black creatures in my graveyard become highlighted or clickable, so its target can't be selected at this time.

Actual: Click "No" because there is no other way to continue the game. Call to the Netherworld enters my graveyard and does nothing.
Expected: Click on Call to the Netherworld in Exile after trigger resolves, casting Call to the Netherworld for Madness 0. Target Grey Merchant of Asphodel. Call to the Netherworld returns Gray Merchant of Asphodel to my hand.