There were a ton of silent films that featured twins. Many used double exposures so that the same actor could play both roles. Two very early examples are THE CORSICAN BROTHERS (1912) where George Lessey played both twins, and MERELY A MILLIONAIRE (1912) where Hobart Bosworth played both roles. Both of these were short nickelodeon films.
Since 75% of all silent films are lost, it is very difficult to definitively state that something is the "first" of anything. THE UK film THE CORSICAN BROTHERS (1898) was one of the first to use double exposures, which allowed an actor to play a ghost of his twin.
Madeline and Marion Fairbanks were real-life twins who starred in many films at the Thanhouser studio. Their first film was THE TWINS (1912). They were in over 40 films together.