According to Aufbau's principle, which of the three $4\mathrm{d},5\mathrm{p}$ and $5\mathrm{s}$ will be filled with electrons first

According to the Aufbau's principle, electron will first enters in those orbital which have least energy. So

decreasing order of energy is $5\mathrm{p}>4\mathrm{d}>5\mathrm{s}$.