Zionist historiography makes much of the ethnic cleansing (of its Jewish inhabitants) by the Romans in either 70 or 135 A.D. (or both) from Judea and Galilee. Taking a "holocaust" to entail at least ethnic cleansing, and possibly extermination on top of that, these would be the first "holocaust" - indeed the one that removed the Jews from their homeland.
Shlomo Sand's The Invention of the Jewish People reveals that historians, including those in Israel, have been quietly aware for some time that neither the Romans nor anyone else did any such thing, beyond deporting a small portion of the population for enslavement. This means that allegations of what might be called the first holocaust(s) are, like those for the period 1938-1945, substantially fabricated for purposes of nation-formation.
The same book establishes that most of today's Jews aren't descended from the ancient inhabitants of present-day Greater Israel in any case. This produces a fascinatingly ironic possibility that is not mentioned in the linked review, nor, presumably in Sand's book: that the people being cleansed and holocausted (to coin a verb) out of Palestine today are descendants of . . . the real Jews.
Hey, this history stuff can really be fun, no?