Why would I even care to know this?

Refer to the figure below.

The shaft in the middle of the bone is called the $\boxed{\text{diaphysis}}$ . It has a hollow inside with an open space called the medullary cavity The surface of the diaphysis is covered in a thin layer of connective tissue, called the periosteum, which helps give other tissues purchase.

Its simple just we have to know digram of bone (shown by Chew-Seong Cheong)

It's clearly not a cavity, so we can rule out medullary cavity.

It's not at any extreme end either, so periosteum is probably wrong ("peri-" roughly means edge/outside).

Since epithelium describes a membrane which covers/surrounds, we may hazard a guess that epiphysis can't be it, since "epi-" should describe something to do with surrounding.

By process of elimination, and noting that "dia-" should be something like middle or between (as in diameter or dialogue), our best bet is diaphysis .