What was the first pure breed dog?

Wolf?

Difficult to say because many dog breeds have disappeared over the ages.

That would be impossible to know or to prove without documentation. But AKC recognized nine dog breeds when it was established in 1884. Chesapeake Bay Retriever, Cocker Spaniel, Clumber Spaniel, English Setter, Gordon Setter, Irish Setter, Irish Water Spaniel, Pointer, & Sussex Spaniel.

ADD: Documentation is the only way to prove pure bred.

I like to think it was the chow chow but I suspect it was a dog very much like a malamute. Both are one step evolved from wolves and both are one of the 14 ancient breeds as Helen said.

Impossible to know, but there are 14 breeds currently considered "ancient": http://en.wikipedia.org/wiki/Ancient_dog_breeds

a wolf