Concept:
The development of modern Indian art education is closely connected with Shantiniketan.
Shantiniketan became an important centre of Indian art, culture, and education.
Step 1: Understand the importance of Shantiniketan.
Shantiniketan was founded by Rabindranath Tagore as a centre of learning.
It later became famous for art education through Kala Bhavana.
Step 2: Identify the location of the first National Art School.
The first National Art School of India was founded at Shantiniketan.
Among the given options, the correct option is:
\[
\text{Shantiniketan, Calcutta}
\]
Step 3: Final conclusion.
Hence, the correct answer is:
\[
\boxed{\text{Shantiniketan, Calcutta}}
\]