Why do you struggle with this in C#, especially given that you are familiar with the F# style? I don't know C#, but in Java I'd write this as:

    public class Order {
      final Optional<DeliveryDetails> delivery;

      public Order(Optional<DeliveryDetails> delivery) {
        this.delivery = delivery;
      }
    }

    public class DeliveryDetails {
      final long deliveryTimeMs;
      ...
      public DeliveryDetails (long deliveryTimeMs,...) {
        this.deliveryTimeMs = deliveryTimeMs;
        ...
      }
    }

My IDE writes most of these lines for me. I believe C# will have similar or more succinct constrcuts.