I asked Kevin Buzzard to ask John Coates directly, and it's basically as people have surmised: the moniker is due to the fact the curve appears first in Cremona's book as it has the smallest possible conductor, and it has the smallest coefficients. It is _not_ due to historical priority, as Coates knows of 8th/9th century Arabic manuscripts that discuss $y^2 = x^3 - x$, whereas the first occurrence of the "first curve in nature" is apparently a book of Fricke on elliptic functions (I think from 1922, but I'm not sure).