The answer is that this is the wrong question.
The trouble here is in the word first. A human life contains many firsts, so the word comes easily to our lips. For example, a Creationist asked me how the metamorphosis of a butterfly occurred "for the first time".
French is called a Romance language because it is descended from Roman, that is, from classical Latin. Across the last 2,000 years, the language changed bit by bit. We have documents from many of the intervening centuries, and each is written in something not quite Latin, and not quite French. They are intermediate.
So, who was the first person to speak French?
You can see that the question simply makes no sense. There was never a moment when French suddenly leapt into existence. There was no first French speaker.
Was there a first chicken? Some flavors of Creationism say there was. But Darwin suggested that species change slowly - in fact, much more slowly than French did. And we do have fossils showing just that sort of change.
So, imagine a lizard which laid a lizard egg. Millions of years later, its descendant was a chicken, which lays a chicken egg. But there was no moment when chicken-ness suddenly leapt into existence. Similarly, there was no first land animal, there was no first lung, and there was no first skeleton. The current scientific theory has all of these coming about bit by bit.
In short, if a species was created abruptly, then a chicken-and-egg question make sense. But if that species evolved, then there was no first chicken, and there was no first egg.