Step 1: Analyzing and Matching Each UN Body with its Headquarters:
(A) United Nations Security Council: This is one of the six principal organs of the UN. Its headquarters, along with the General Assembly and the Secretariat, is in the UN Headquarters complex in New York, USA. This matches with (II).
(B) International Court of Justice (ICJ): Also known as the World Court, it is the principal judicial organ of the UN. It is located in the Peace Palace in The Hague, Netherlands. This matches with (III).
(C) International Labour Organisation (ILO): This is a UN specialized agency whose mandate is to advance social and economic justice through setting international labour standards. Its headquarters is in Geneva, Switzerland. This matches with (I).
(D) United Nations Educational, Scientific and Cultural Organisation (UNESCO): This is a specialized agency of the UN aimed at promoting world peace and security through international cooperation in education, arts, sciences, and culture. Its headquarters is in Paris, France. This matches with (IV).
Step 2: Forming the Correct Combination:
The correct pairings are: A $\rightarrow$ II, B $\rightarrow$ III, C $\rightarrow$ I, D $\rightarrow$ IV.
Step 3: Final Answer:
Looking at the options, option (A) matches our derived sequence.