I know nothing about Kingmaker yet (cause I'm hoping to play it one day... but I'll probably wind up storytelling it no matter how hard I try), but the term First World usually refers to the land of the fey. Such would be a fantastic realm of powerful magic and life. Think of an enchanted forest with abundant life where arcane magic is empowered.
WotC originally offered it as an optional plane in Manual of the Planes. It's presented in the appendix as the Plane of Faerie. The Pathfinder Chronicles: Campaign Setting has a short section on the pathfinder cosmology, but it is not included. So if Kingmaker is refering to the realm of the fey, I don't know if it got left out of the cosmology by accident or if Paizo intends to make it part of the material plane (or ethereal plane... or astral plane... )
I decided I wanted the First World in my campaign, so until I find out "officially" I sandwiched it in between the positive energy plane and the material plane.
The Great Beyond has some information regarding the First World. Also, Gnomes of Golarion has some insights on the place, since gnomes originate from it.
The last Kingmaker book will include an entire chapter on the First World.
Ah! Thank-you, sir!