Paris, France—France’s ex-president Nicolas Sarkozy became the first former head of an EU state to be jailed Tuesday, again proclaiming his innocence as he entered a Paris prison. The right-wing leader from 2007 to 2012 was found guilty last month of seeking to acquire funding from Moamer Kadhafi’s Libya for the campaign that saw him elected. The 70-year-old, who has appealed the verdict, left his home on Tuesday morning and after a short drive entered the La Sante prison in Paris. Christophe Ingrain, one of Sarkozy’s lawyers, said a request had been immediately filed for his release pending an appeal...