Well.
Anyway, I personally wouldn't have preferred it, but there was a moment there where a gunslinger Old West game might have been the first RPG. Playing at the World has more info, but long story short: some players in England were running a hero focused persistent "cowboys" wargame that caught Gygax's attention in the zines. At the time it appears to have been pretty well along the track of turning into a proper RPG, but Gygax lifted some ideas from it. I don't think it had character progression tho.