Thermal energy is converted into mechanical energy.
So we're dealing with the area between the steam generator and the turbine. Let's look at the available choices and pick the most reasonable. Chemical energy is converted into nuclear energy. * This choice is just plain silly. It's almost as bad as the concept ancient alchemists had in that if they could just figure out the right combination of ingredients then they could turn lead into gold. So this is a very wrong choice.
Nuclear energy is converted into thermal energy. * OK. This happens. But it happens prior to the steam generator. So it is also a wrong choice. Thermal energy is converted into mechanical energy. * As the high pressure, hot steam enters the turbine, the turbine is spun and cooler, lower pressure steam exits. So this is the correct choice.
Mechanical energy is converted into electrical energy. * This also happens. But it happens when the turbine is spinning the generator. So this too is a wrong choice.