The answer to this is pretty boring.
Mark Overmars, a computer scientist, developed the program (Animo) that would become GameMaker when he was working at Utrecht University I believe. It is claimed in a 2009 interview that he developed the tool to get his children interested in computer science. He also taught game design courses in which a more robust version of GameMaker was used by students. It's a safe bet that the earliest games made with the tool were by Overmars' students or his children, if we aren't counting the man himself.
This all depends what you mean by "GameMaker" and "game". The GameMaker we use to day is a vastly different beast from the GameMaker that existed before YoYo Games acquired it. It's also very different from Animo. The creations people made with earlier versions of GameMaker would have been fairly limited.
You might ask: what was the first complete game created in the first public version of the GameMaker engine, and released to the community? Well, we could answer that question if we had access to "pub58.ezboard.com/bgamemakercommunity", the first ever GameMaker community promoted on Overmars' website (gamemaker.nl which now redirects to YoYo). Unfortunately, this has been excluded from the Wayback Machine, so it might not be possible to find anymore.
You can
click here to read about some of the early games developed with GameMaker back in 2002 - 2003, but the links and images are broken for most, although
page 6 has some screenshots including an early attempt to create 3D experiences with the engine (image above).