Step 1: Recall textile industry history.
The first textile mill in India was set up in Mumbai (Bombay), Maharashtra in 1854 by Cowasjee Nanabhoy Davar.
Step 2: Eliminate incorrect options.
(A) Gujarat: Known later for Ahmedabad mills, but not the first.
(B) Andhra Pradesh: Incorrect.
(C) Maharashtra: Correct, Bombay = first mill.
(D) Uttar Pradesh: Incorrect.
Step 3: Conclusion.
Correct answer: (C) Maharashtra.