The first virtual university of India came up in

Concept: A virtual university is a higher-education institution whose teaching and learning are delivered over computer networks and online media rather than through classroom instruction on a conventional teaching campus. An open university is a different category: it is a distance-education institution built on open access, and it reaches learners mainly through printed self-learning material supported by a network of regional study centres. In short, "open" describes open admission and distance mode, while "virtual" describes online, network-based delivery.

Application: The first Indian institution of the virtual kind was the Tamil Virtual University, set up by the Government of Tamil Nadu as a registered society in 2000 and formally launched on 17 February 2001 at Chennai. It carried Tamil language, literature and cultural courses entirely over the internet to learners in India and abroad, and was renamed the Tamil Virtual Academy in 2010. It is therefore in Tamil Nadu that the first virtual university of India came up.

Cross-check: all four states have an open university, so that fact cannot decide the question

All four are open (distance-mode) universities, so the deciding idea is the open-versus-virtual distinction, not the presence of an open university. Andhra Pradesh holds the earliest open university (1982), while the earliest virtual university (2001) belongs to Tamil Nadu.