I think the first capture must have been
The black Rook (Nh6xg8, in fact)
Reasoning:
Black could not have made the last move. The knight on g1 could not have moved from f3, because that would have had the white king in check, and no other piece or pawn could have moved.
Similarly:
White could not have made a non-capture move on his last move, because that would leave black with the same impossibility as above.
Therefore:
White's last move must have been a capture, and it must have occurred on either h2, a1, or b6. The black rook and black knight are the only pieces missing, and the black rook could not have reached any of these squares (and obviously there have been no promotions). Therefore the last move was white's capture of black's knight and the first piece captured must have been the black rook
Following up on the clarification of what is asked for:
The first capture was on g8. In particular, Nxg8.
Why?
parity I think. White has definitely made an even number of moves. e.g. both knights are on different colors (only happen after even number of knight moves). h3, and an odd number of Rh1-h2 moves. and an even number of Rb1-a1 moves. So black must have made an odd number of moves. The knight was captured on a black square and the other knight is on a black square, so that is odd number of knight moves. The rook on b1 moved an odd number of times Ra8-b8 and ended up on b8. The only other piece that could have moved was the rook on h8, so an odd number of Rh8-g8, ending up and being captured on g8 by a knight that must have come from h6. QED
Proof game
1. Nf3 Nf6 2. Nd4 Ne4 3. Nf5 Ng5 4. Nh6 Rg8 5. Nxg8 Nh3 6. Nc3 Ng1 7. Nd5 Nc6 8. Nb6 Rb8 9. Na8 Nd4 10. Nh6 Nb3 11. Rb1 Na1 12. Nf5 Nb3 13. Ne3 Na1 14. Nc4 Nb3 15. Ncb6 Na1 16. h3 Nb3 17. Rh2 Na1 18. Rxa1