Option A is correct: Ajanta Caves lie in the gorge of the Waghora River.

Option B is incorrect: Sanchi Stupa is located on a hilltop in Sanchi, Madhya Pradesh, and is not situated in a gorge.

Option C is incorrect: Pandu-Lena Cave Shrines are situated near Aurangabad, Maharashtra, and are not associated with any specific gorge.

Option D is incorrect: Amaravati Stupa is located on the banks of the Krishna River in Andhra Pradesh, not in a gorge.