An interesting question that could lead one on a mystical journey. First, I accept the meaning of sex as being intercourse for this first answer. No is the answer. A great memory.
The next portion of answering is the first time having sex with whom could be asked. Therein things get kinda' personal. Also, with understanding human sexuality a tad one could ponder meaning for sex to begin with. How one defines that most certainly may offer entirely different answers when one ponders. Interestingly the imagination can be very erotic regarding sex. Therein one could wonder.