Can halogens exist in their elemental state in nature?
I agree with Matt Black's comment on the question. The question is rather tricky and the answer can only be determined by the process of elimination. 


Have to assume we're talking about STP.
"In nature" is ambiguous, so assume the question means "on earth."
It is also somewhat ambiguous what "elemental form" means. Assume that it means that element is only combined with itself since only the noble gases exist as monoatomic species.


The noble gases (helium and neon) and exist as monoatomic gasses at STP and can be found in the atmosphere.

Oxygen and nitrogen are diatomic gases and both exist in earth's atmosphere. 

Sulfur is found in volcanic vents. 

Carbon is found both as graphite and diamonds on the earth. 

So, the list becomes:


neon, phosphorus, fluorine
helium, hydrogen, iodine
helium, carbon, fluorine
nitrogen, chlorine, sulfur
oxygen, chlorine, phosphorus


Oxygen is ubiquitous on earth and phosphorus is so reactive with oxygen that elemental phosphorous just won't be found on earth. However, elemental phosphorous might be found on the moon for example. 


neon, phosphorus, fluorine
helium, hydrogen, iodine
helium, carbon, fluorine
nitrogen, chlorine, sulfur
oxygen, chlorine, phosphorus


So now we are left with the halogens -- fluorine, chlorine, and iodine. Iodine is the least reactive, so "elemental iodine" is the most probable to be found in nature. 

Thus the answer must be #2. However this is really an "educated guess," not a "fact" since the question is so ambiguous.