The Harmonic Minor Scale in the key of "A" would work over that progression,
because it contains all the notes used in the chords.
Notice that you are playing a "G#" note in the E major chord(E,G#,B)
and the Harmonic Minor gives you that note.

A harmonic minor=[A,B,C,D,E,F,G#]

The Natural Minor has "G", so it won`t work.
The Melodic Minor has "F#" and "G#" and won`t be a good choice, because of the "F#"