For a first trekking experience in Nepal, would you recommend Upper Mustang, Annapurna, or Dolpo?

Tough question, it very much depends!

Firstly it depends on when you're going: Both Upper Mustang and Dolpo are best trekked between May and October. On the other hand, the Annapurna treks are best done between October and May.

Secondly it depends on what you're looking for. The Annapurna region is the classic Nepal trekking experience: You'll get the iconic close-up mountain views, lodge/teahouse trekking is standard, it's considerably cheaper, but also much, much busier.

Upper Mustang and Dolpo are totally different. The culture and landscapes here are more Tibetan and the scenery is less in-your-face-mountains, and more stark, high-altitude desert. They're both vastly less popular than Annapurna, travel logistics are more complex and more expensive, and you'll either be camping or in basic homestays.

If you're an experienced trekker looking for something totally different, I'd recommend Upper Mustang or Dolpo over Annapurna. And of the two I'd probably recommend the eastern side of Upper Mustang. There's quite a lot of road building taking place in Dolpo right now but on the eastern side, Upper Mustang is still classic Tibet scenery and culture.