Venn diagram according to the given information is:

Chennai, India, Asia

As India is a country that lies in an Asia continent, so it will come inside Asia.

Similarly, Chennai is the capital of Indian state Tamil Nadu, so it will come inside India.

Hence, the correct answer is "Option 1". 

  Additional Information

• The 2nd  oldest cricket stadium in India is located in Chennai known as Chepauk M.A. Chidambaram stadium.
• The oldest jail in India is Chennai Central prison.
• Guindy National Park is located in Chennai.
• There are 48 countries in Asia today , according to the United Nations.
• Three out of the four most populous countries in the world are located in Asia.
• It is located primarily in the Eastern and Northern Hemispheres.
• The Equator, Tropic of Cancer, and Arctic Circle pass through Asia.
• It is separated from Africa by the Red Sea and Suez Canal.
• 14 of the tallest mountains in the world can be found in Asia, and they are all over 8000 meters above the sea.
• Asia is separated from North America by Berling Strait.
• Arabian Peninsula is the largest Peninsula in the World.
• The deepest trench of the world: Mariana Trench lies in the Pacific Ocean near the Philippines.
• Pamir Plateau is known as 'Roof of the World' situated in Central Asia.