Step 1: Identify the organisation.
UNEP, the United Nations Environment Programme, is the UN's main body for environmental matters.
Step 2: Recall where its headquarters sits.
UNEP is headquartered in Nairobi, Kenya, notably the first UN headquarters located in a developing country.
Step 3: Rule out the other cities.
France, London and Austria host other UN or international bodies but not UNEP's headquarters.
\[ \boxed{\text{Kenya}} \]