Natural gas and petroleum, upon burning, produce carbon dioxide. If you look at methane and the such, these hydrocarbons react with oxygen forming carbon dioxide and water.
The claim that petroleum is not carbon based is downright wrong. Methane is a hydrocarbon, and petroleum is a combination of complex hydrocarbons with varying chains of carbon atoms, some having 6 carbon atoms, others 60, giving it the viscous feel.
Coal deposits may be found in many places, but are still scarce and poses A LOT of risks, for example children were often harmed during the Industrial Revolution as a result of breathing in too much of the dirty air. Even now, coal mining is not without risk.
The only right answer then is the last one, where nuclear power does not produce air pollution. It relies on nuclear fission, where upon the splitting of uranium atoms they release energy, and this energy is harnessed by scientists for the betterment of all.