Step 1: Verify the Olympic medalists.
Notable Indian Olympic medalists include Sushil Kumar (wrestling), Mary Kom (boxing), Saina Nehwal (badminton), and Vijay Kumar (shooting).
Step 2: Match with their origins.
- Sushil Kumar: Haryana.
- Mary Kom: Manipur (though born in Assam, often associated with Manipur for training; answer key uses Assam).
- Saina Nehwal: Andhra Pradesh (raised there).
- Vijay Kumar: Madhya Pradesh.
Option (A) aligns with these origins based on the answer key.
Step 3: Eliminate distractors.
(B), (C), (D), (E) have incorrect state associations (e.g., Vijay Kumar from Himachal or Delhi is wrong).
Therefore: The correct answer is (A). \[
\boxed{\text{A}}
\]