Interesting, related, question:
Which is the first martyr, The Good Thief (“Dismas”), or St Stephen the Deacon?
Considering “Dismas” accepted Jesus as his Saviour there on his own cross, it would seem that he was the first martyr, although St Stephen has a good case; after all St Stephen was murdered for his Faith, whereas “Dismas” was executed for murder/insurgency/theft/other crimes, and simply died a Christian.
For that matter, it would seem that the first person to die a Christian would be either St Joseph, Jesus’ foster father, or St John the Baptist; it is unknown which died first, but we are sure neither were alive during the Crucifixion, and both accepted Jesus as God Incarnate.