Step 1: Identify the compound used in smoke screens.
Calcium phosphide
\[
\mathrm{Ca_3P_2}
\]
is used in smoke screens.
Step 2: Reason for its use.
When calcium phosphide reacts with moisture, it produces phosphine gas:
\[
\mathrm{Ca_3P_2+6H_2O \rightarrow 3Ca(OH)_2+2PH_3}
\]
Phosphine undergoes spontaneous combustion in air and produces dense white fumes, which form a smoke screen.
Step 3: Analyze other options.
\[
\mathrm{Mg_3N_2}
\]
is magnesium nitride and is not used for smoke screens.
\[
\mathrm{MgO}
\]
is magnesium oxide and is mainly a refractory material.
\[
\mathrm{NaN_3}
\]
is sodium azide, used in airbags.
Step 4: Final conclusion.
Hence, the compound used in smoke screens is
\[
\boxed{\mathrm{Ca_3P_2}}
\]