Option 1. Without a doubt.

You are keeping a job that you have until you have a firm commitment at a second employer that you'd actually prefer. This may be rare in the aviation world, but it is common in virtually all other industries. You have no requirement to quit simply because you are window shopping, and likewise, no requirement to stay when you'd prefer to be somewhere else. If United wants to keep all of its new hires on the property and prevent them from defecting to other carriers, then let them offer pay, benefits and career security to entice you.

Neither airline is going to do you any favors if you try to be "Mr. Nice Guy" and bow out of training before everything is finalized. If something happened in that interim period they would both leave you out in the cold.