Usage manuals choose not to address this usage, but it is a question asked as often as any other. The logic (if we can call it that) is that something cannot be called "annual" until a year has passed between its inaugural happening and its second manifestation. Therefore, the first event cannot be referred to as the "first annual." In fact, some people argue that the second event in a series is actually the "first annual" (because it's the first time that something has happened on an annual basis), which really confuses people. Whether this is foolishness or not, it seems that enough people belong to this faith that it's probably a good idea to call a first event (even one that is guaranteed to occur every year thereafter) the inaugural or first occasion. On the other hand, virtually everyone knows that the First Annual Fund-Raising Event refers to an event that is happening this year for the first time and that someone is planning and hoping that this event will happen on an annual basis. Our advice then: go ahead and use first annual to describe such an event but know that someone is going to ask what you mean by it.