The 15th Pravasi Bharatiya Divas, 2019 was held in Varanasi. Pravasi Bharatiya Divas is an annual convention organized by the Government of India to connect with the Indian diaspora living abroad. The event is usually held in January and serves as a platform to engage and interact with the Indian diaspora, address their concerns, and foster stronger ties with them.

Option 1: New Delhi - This option is incorrect. Although New Delhi is the capital of India and a major city for hosting national events, it was not the location for the 15th Pravasi Bharatiya Divas in 2019.

Option 2: Gandhi Nagar - This option is incorrect. Gandhi Nagar is the capital city of the state of Gujarat, but it was not the venue for the 15th Pravasi Bharatiya Divas.

Option 3: Prayagraj - This option is incorrect. Prayagraj, formerly known as Allahabad, is a city in Uttar Pradesh, but it was not the location for the 15th Pravasi Bharatiya Divas.

Therefore, the correct answer is option 4: Varanasi. Varanasi, also known as Kashi,