The First National Games were organized in

India's premier multi-sport athletic meet began in 1924 under the name “Indian Olympic Games”. The event kept that original name through several editions before being renamed the “National Games” — only an edition held under this renamed title counts as a “National Games” edition, not the earlier ones held under the original name.

The meet's 9th edition, held in 1940, was the first to be organized under the new name “National Games”. That edition was hosted in Bombay (now Mumbai), which is why Bombay is the city where the First National Games were organized.

• Delhi hosted the meet's 6th edition in 1934, while it was still called the Indian Olympic Games — well before the renaming.

• Calcutta hosted the meet's 8th edition in 1938, the last edition held under the original Indian Olympic Games name, immediately before the renaming.

• Madras hosted the meet's 5th edition in 1932, several editions before the meet was renamed National Games.

Since only the 1940 Bombay edition carried the “National Games” title for the first time, Bombay is the correct answer.