It looks like on the Wherigo site you can publish a cartridge without putting the state, so you might not be first. As a geocache though you have to put a state and on that site you did make the first Kentucky cache.
The River Valley Geocachers are based in the Paducah, Ky. area, but include members who live or hunt caches in western Kentucky, southern Illinois, southeast Missouri and northwest Tennessee.
http://www.rvgc.net/
I spent all day showing some Kentucky cachers around. We even went for 2 boat caches, the one we didn't find would've been my only find of the day. Oh well, got to spread the love of CACHING IN INDIANA.