[guided]We want to show $F'(z) = f(z)$. The idea is that $F(z+h) - F(z)$ equals the integral of $f$ along a short segment from $z$ to $z+h$, and on this short segment $f(w) \approx f(z)$ by continuity.
Fix $z \in \Omega$. Since $\Omega$ is open, choose $\delta > 0$ with $B(z, \delta) \subset \Omega$. For $0 < |h| < \delta$, the segment $[z, z+h]$ lies in $B(z, \delta) \subset \Omega$. By path-independence (established above), we may compute $F(z+h)$ by first integrating along $\alpha_z$ from $z_1$ to $z$, then along $[z, z+h]$:
\begin{align*}
F(z + h) - F(z) = \int_{[z, z+h]} f(w)\, dw.
\end{align*}
Now we estimate the difference quotient. Since $\int_{[z, z+h]} f(z)\, dw = f(z) \cdot h$ (the integral of a constant along a segment of length $|h|$ in direction $h/|h|$), we can write
\begin{align*}
\frac{F(z+h) - F(z)}{h} - f(z) = \frac{1}{h} \int_{[z, z+h]} \bigl(f(w) - f(z)\bigr)\, dw.
\end{align*}
The standard contour integral estimate gives $\left| \int_{[z,z+h]} g(w)\, dw \right| \le \text{length}([z,z+h]) \cdot \sup_{w \in [z,z+h]} |g(w)| = |h| \cdot \sup |g|$. So
\begin{align*}
\left| \frac{F(z+h) - F(z)}{h} - f(z) \right| \le \sup_{w \in [z, z+h]} |f(w) - f(z)|.
\end{align*}
Since $f$ is continuous at $z$, the right-hand side tends to $0$ as $h \to 0$. Therefore $F'(z) = f(z)$, and $F \in \mathcal{O}(\Omega)$.[/guided]