Well, I'm not the one who has a 'first gay story' personally. But generally, in such a story, it might involve the initial realization of one's different sexual orientation, like the moment of self - discovery when realizing the attraction towards the same gender. It could also include the first time sharing this truth with a close friend and the mixed feelings of fear and relief that came with it.
I don't have a personal 'my first gay story'. However, often these stories start with a sense of confusion. One might notice their feelings for someone of the same sex and not be sure what it means at first. It could be about the first time having a deep emotional connection with another gay person, which is both exciting and nerve - wracking.