This is just a fallacy of naming. Nobody was called a Jew until at least Judah because the name etymologically comes from Judah. However, except for some terse grammarians, it is universally accepted that "Jew" in the modern sense refers to one from any of the twelve tribes.
I'll argue that acceptance is NOT universal, and is also INCORRECT.
Why?
Because Scripture defines "Jew" for us as a handle for 'Judean', that is, a member of one of the tribes of Judah, Benjamin, or Levi. And in Scripture we see Judah marching to its own drummer before God broke it off from Israel in the days of Rehoboam.
And Scripture NEVER says such as "a Jew from the tribe of Dan" or similar. In Luke 2:36-38 we see the prophetess Anna, referred to as "of the tribe of Asher". She is NEVER called a Jew in Scripture.
Also, Scripture refers to "Israel and Judah" up to the coming day when God will re-unite Israel and Judah.
This is even so still pedantic because OP has not clarified what he meant by the question. If what he meant was "who was the first follower of the religion that became Judaism and then Christianity?" The answer is Adam.
If the question is "who was the first person who used the title of 'Jew'", we dont know.
If the question is "Who was the first being in existance for all time who can claim to be a Jew", then it would be Christ, although he became a Jew at his incarnation.
If the question is "Who is the progenitor of the ethnic group now commonly referred to as Jews" you could argue Abraham, or perhaps Jacob, since both Abraham and Isaac had descendants that are notably not Jews, namely Ishmael and Esau.
If the question is "if we take the etymology of the word "Jew" and apply it out of context as a replacement of the proper definition of the word 'Jew' today, whi would the first Jew be?" you get Judah.
For now, I'm assuming the OP asked who was the first person who could be correctly called a Jew by definition of "Jew".