__________ was first trained in classical music under her father Ustad ‘Baba’ Allauddin Khan, and established the Maihar-Senia gharana with his help.

Annapurna Devi

The correct answer is Option (2) → Annapurna Devi

The musician you're looking for is Annapurna Devi.

She was the daughter of Ustad Allauddin Khan and a prominent figure in Hindustani classical music. She received her initial training under her father and played a key role in establishing the Maihar-Senia gharana.