Hey there! I'm happy to help!
The Battle of Pea Ridge was fought in Arkansas, which was a Southern state at the time, so there was not an Indian territory there.
The Battle of Wilson Creek was in Missouri, which was also a state, so there weren't any territories they fought in there.
The Battle of Round Mountain of the Battle of Locust Grove were fought on Indian territory, but we want to find which one took place first. The Battle of Locust Grove was a very small confrontation that took place in the summer of 1862, while the Battle of Round Mountain that was meant to take control of Indian territory in 1861, so the answer is D. Battle of Round Mountain.
Have a wonderful day! :D