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Not sure if it is the first one, but seems a good candidate.
I know it’s a lot later, but I was amazed the first time I heard the in-game opening theme with lyrics in Tales of Phantasia (Super Famicom, 1995). I had no idea it existed when I tried the fan-translated ROM, and I was like, wait, you can do that in a SNES game?
Sure it’s probably the main reason they needed a (comparatively) high capacity cartridge (6 whole megabytes!), but still, wow.
Unless you got tricked into getting the terrible switch version. Utter crap, I definitely regret backing the game. They had the gall to tell us the game would work on Wii U and Vita back then. In the end it was almost unplayable on the Switch.
I got a PC version long after that (only because it was cheap), and yeah, that one is good.