Answer:
The first one is correct.
Step-by-step explanation:
When you write the name of one city, you put a comma inbetween the city and the state names.
Ex: Durango, Colorado
When you list multiple cities in multiple different states, you need to put semicolons in between them. When you don't do this it looks like you are just listing states and cities separately. The last option is a perfect example of this. If you read it out loud, it just doesn't sound right. Ex: Durango, Colorado, Las Vegas, Nevada. It sounds as if you were reading a list of names off the class roster.
When you add semicolons, it clarifies a series and indicates two closely related sentences. The first answer does this correctly, so the first answer is the correct one.
Hope this helps :)