What is the best answer for the question?why?

I have come across with this question and I’m not sure about the answer?can anyone help me aith this? The question is:

We travelled to many Asian countries, …….. gave us great pleasure.

The options are: " that ", " which", " where" , and "they".
I thik the answer is where because the question talks about a place but that could be a correct answer aswell.So what is the correct answer for this?and why is that?