Complexity Zoology by Greg Kuperberg states that there is a language $X$ such that $\mathsf{BPP}^X \nsubseteq \mathsf{\Delta_2 \mathsf{P}}^X$ — in other words, $\mathsf{BPP}^X \nsubseteq \mathsf{P}^{\mathsf{NP}^X}$ — but does not give a reference for this result. Why does this hold? Or where can a proof be found?
This question is partly motivated by my answer to the question “What is known about multi-prover interactive proofs with short messages?” by Joe Fitzsimons.
I posted this question on math.stackexchange.com on October 2, but I did not receive any answer and deleted the question on math following this post on meta.math.