Godot does not support older versions of OpenGL ES (and soon, OpenGL ES 3.0 will be required). This is however not a problem for your hardware, since the GeForce 940MX supports OpenGL 4.5 and OpenGL ES 3.2, and the Intel HD Graphics 520 also supports OpenGL 4.5 and OpenGL ES 3.2.
Make sure your graphics drivers are up-to-date (you may need to remove and reinstall both of them entirely – since you have an hybrid graphics setup, you need to install both the Intel and NVIDIA drivers).
You should also ensure that Godot runs on the dedicated GPU, which can be done by right-clicking the Godot executable, then selecting the NVIDIA graphics processor in the Run using graphics processor… dropdown. You can make this a permanent setting by creating a profile for Godot in the NVIDIA Control Panel's 3D settings.