Step 1: Identify Trygve Lie's Nationality.
Trygve Lie served as the inaugural Secretary-General of the United Nations, from 1946 to 1952. He was a native of Norway.
Step 2: Evaluate the Answer Choices.
- (1) Austria: Incorrect. Lie was not Austrian.
- (2) Sweden: Incorrect. Lie was not Swedish.
- (3) Norway: Correct. Trygve Lie was Norwegian and held significant political office in Norway before his UN appointment.
- (4) Egypt: Incorrect. Lie was not Egyptian.
Step 3: State the Solution.
Therefore, the answer is (3) Norway.