Answer: Option 1: In Spain, they take siestas.
Explanation: Let's break this sentence down into 3 parts.
In: This is the beginning of the sentence and should be capitalized. We can already say that Option 3 is correct. 
Spain: Because Spain is a country, it should always be capitalized.
Siestas: This word should not be capitalized unless it is the first word of a sentence. 
Hope this was helpful! Let me know if you have any further questions. :)