The correct answer is option 3, Mahapadma Nanda. The Nanda Dynasty was a dynasty that ruled over the Magadha region in ancient India. Mahapadma Nanda was the founder and first king of this dynasty. He is said to have overthrown the ruling Shishunaga Dynasty to establish his own reign.

Option 1, Dhana Nanda, is incorrect as there is no historical evidence to suggest that he founded the Nanda Dynasty. Option 2, Mahendra, is also incorrect as there is no known connection between him and the Nanda Dynasty. Option 4, Gaja Nanda, is also incorrect as there is no historical figure by that name associated with the dynasty.

In conclusion, Mahapadma Nanda is the correct answer as he is the acknowledged founder of the Nanda Dynasty.