First is an ancient word, one that we inherited from our Germanic ancestor languages; it occurs in the very earliest of all writings in English. It can be used not only as an adjective or adverb, but also as a noun and even as a verb.
So while it is possible to write the first time/thing (that) in that sentence, it is by no means required. That’s because per the OED, the word first can be used as a noun with the following sense:
With the and the person or thing denoted identified contextually.
(c) With a relative clause containing hear, know, see, be told, etc. The beginning of a person’s awareness of, knowledge about, or contact with someone or something.
The OED provides many citations for this sense ranging in time from the 17ᵗʰ century up through the present 21ˢᵗ century. Here are the first and the last:
- 1697 J. Vanbrugh Relapse ɪɪ. i. 34
Wor... But, pray Madam, how long has this noble Lord been an humble Servant of yours? Aman. This is the first I have heard on't.
- 2005 J. M. Coetzee Slow Man xxᴠ. 201
Hadn’t she given notice? No, I said, this was the first I heard of it.
It’s a perfectly unremarkable construct that occurs with some frequency.