Correct answer: Bowel perforation. The presence of air in the abdominal wall is most commonly a result of a bowel perforation. It can be caused by e.g. necrotisizing enterocolitis or erosion due to a duodenal ulcer. Another finding could be the 'wooden belly symptom'; the abdomen then feels quite rigid.
Yes, I believe air in the intestinal wall often indicates a perforation as well; at least in a necrotic bowel (with high risk of perforation) there are air bubbles in the intestinal wall. As I understand it, air in the abdominal cavity or abdominal wall is also often due to a perforation.