Explanation:

- The Nishagandhi Festival is a cultural event held annually in the Indian state of Kerala. It showcases classical dance and music performances, featuring renowned artists.

- Option 1: Rajasthan - Known for its desert landscape and vibrant culture, Rajasthan hosts festivals like the Jaipur Literature Festival and Desert Festival but not the Nishagandhi Festival.

- Option 2: Kerala - Kerala is where the Nishagandhi Festival is celebrated. It's held at the Kanakakkunnu Palace in Thiruvananthapuram, highlighting Kerala's rich artistic heritage.

- Option 3: Odisha - Famous for its Rath Yatra and Konark Dance Festival, Odisha also celebrates various cultural events but not the Nishagandhi Festival.

- Option 4: Madhya Pradesh - Known for the Khajuraho Dance Festival, among others, Madhya Pradesh has its own set of cultural events but isn't home to the Nishagandhi Festival.