I am interpreting your question as being about the usual Gödel sentence $\theta$ which is interpreted as saying "there is no proof of $\theta$ from $\text{PA}$," or perhaps more formally as "$\neg ( \exists n ) ( \text{Proof}(n,\ulcorner \theta \urcorner) )$," where $\text{Proof}(x,y)$ is the predicate asserting that $x$ codes a proof (from $\text{PA}$) of the sentence coded by $y$. Note that $\theta$ has the property that if $\text{PA}$ is ($\omega$-)consistent, then $\text{PA} \not\vdash \theta$ and $\text{PA} \not\vdash \neg \theta$.
(As a disclaimer of sorts, whenever I speak of "proof" (in English) below, I mean a "proof from $\text{PA}$.")
In a certain sense, $\theta$ is neither of the options you list... at least not without some extra assumptions. As $\text{PA}$ is either consistent or inconsistent, let's look at these cases separately:
- If $\text{PA}$ is consistent (which it is probably safe to say most mathematicians believe), then as $\text{PA} \not\vdash \theta$ it follows that $\theta$ speaks the truth about itself (as there is no proof of $\theta$ from $\text{PA}$ no natural number can encode a proof of $\theta$ from $\text{PA}$).
- If $\text{PA}$ is inconsistent, then $\text{PA}$ proves everything, and in particular $\text{PA} \vdash \theta$, and so the assertion that "$\theta$ has no proof in $\text{PA}$" is false, i.e., $\theta$ is false. (We can find a proof of $\theta$ from $\text{PA}$, and convert this proof into a number witnessing $( \mathbb{N} , ... ) \models \neg \theta$.)
To summarise: if $\text{PA}$ is consistent, then $\theta$ is an unprovable sentence which is true; if $\text{PA}$ is inconsistent, then $\theta$ is a provable sentence which is false.
The first case is the interesting one for the remainder of your questions. (If $\text{PA}$ is inconsistent, then so are $\text{PA} + \theta$ and $\text{PA} + \neg \theta$.) Recall that if $T$ is any theory and $\phi$ is any sentence, then $T + \phi$ is consistent iff $T \not\vdash \neg \phi$. So if $\text{PA}$ is consistent we have both $\text{PA} \not\vdash \theta$ and $\text{PA} \not\vdash \neg\theta$, and so both $\text{PA} + \neg \theta$ and $\text{PA} + \theta$ are consistent.
Perhaps the more interesting sentence regarding the second and third questions is $\text{Con} ( \text{PA} )$ which expresses the consistency of $\text{PA}$; something to the effect of $\neg ( \exists n ) ( \text{Proof} ( n , \ulcorner 0 = 0 \wedge \neg 0 = 0 \urcorner )$. This is another sentence known to be independent of $\text{PA}$, provided that $\text{PA}$ is consistent. Following similar reasoning to the above, if $\text{PA}$ is consistent, then $\text{Con} ( \text{PA} )$ is a true (unprovable) sentence, and if $\text{PA}$ is inconsistent, then $\text{Con} ( \text{PA} )$ is a false (provable) sentence. Again, in the former case both $\text{Con} ( \text{PA} )$ and $\neg \text{Con} ( \text{PA} )$ may be appended to $\text{PA}$ to yield a consistent theory.
Looking at the consistency of $\text{PA} + \neg \text{Con} ( \text{PA} )$, recall that this just means, via Gödel's Completeness Theorem, that it has some model $\mathcal{M}$. As $\mathcal{M} \models \neg \text{Con} ( \text{PA} )$, then there is some $a \in \mathcal{M}$ such that $\mathcal{M} \models \text{Proof} ( a , \ulcorner 0=0 \wedge \neg 0=0 \urcorner )$, i.e., $\mathcal{M}$ "thinks" that $a$ codes a proof of $0=0 \wedge \neg 0=0$. However this $a$ will not correspond to any real natural number, so we cannot translate this object into a real proof of $0=0 \wedge \neg 0=0$. ($\mathcal{M}$ will be a nonstandard model of $\text{PA}$, and will contain objects which you can think of as "infinitely big natural numbers;" $a$ will be one of these.)