Which of the following works is set in the backdrop of the religious persecution in Mexico?

The correct option is The power and the glory.

Graham Greene's 1940 masterpiece, The Power and the Glory, is set in the Mexican state of Tabasco during the 1930s. This period was marked by intense religious persecution led by the anticlerical governor Tomás Garrido Canabal, who sought to outlaw the Catholic Church and force priests to marry or face execution.
The novel follows a nameless "whisky priest" who wanders the state, attempting to minister to the people in secret while being hunted by a ruthless, idealistic lieutenant dedicated to eradicating religion from the state.