After doing some digging around the internet a couple of weeks back, I discovered that Gary Gygax in fact ran his first game in Greyhawk in 1972. This took place after his initial meet up with Dave Arneson earlier in the year.
His very first session took place with his two children, Ernie and Elise in a delve beneath the Castle Greyhawk. His homebrew campaign would later become known as the World of Greyhawk.
Below is a short paragraph taken as reference from this site: www.enotes.com to support my findings.
"Arneson's Minneapolis-St. Paul Napoleonic gaming group was in touch with Gygax's Lake Geneva group, and Arneson mentioned his dungeons of Blackmoor that the group was playing on alternate weekends. Gygax was interested, so during a visit to Lake Geneva in 1972, Arneson demonstrated his Blackmoor dungeons to Gygax. Gygax was immediately intrigued by the concept of individual characters exploring a dungeon setting, and believed that this was a game that could be marketed and sold. He and Arneson agreed to co-develop a set of rules based on Chainmail. In order to provide a playtest environment in which to develop these rules, Gygax designed his own castle, "Castle Greyhawk", and prepared the first level of a dungeon that lay beneath it. Two of his children, Ernie and Elise, were the first players, and during their first session, they fought and destroyed the first monsters of the Greyhawk dungeon; Gygax variously recalled this as being some giant centipedes or a nest of scorpions. During the same session, Ernie and Elise also found the first treasure, a chest of 3,000 copper coins (which was too heavy to carry, much to the children's disgust). After his children had gone to bed, Gygax immediately began to work on the second level of the dungeon. At the next play session, Ernie and Elise were joined by Gygax's friends Don Kaye and Rob and Terry Kuntz. About a month after his first session, Gygax created the nearby city of Greyhawk, where the players' characters could sell their treasure and find a place to rest.
Murlynd: Gary Gygax's friend Don Kaye created Murlynd for the second-ever session of Gygax's Greyhawk campaign in 1972. Gygax later recalled that "Murlynd" was the first attempt by a player to make a creative name for a character; in the early days, most players including Gygax himself simply used their own name as a basis for their character's name. (Tenser = Ernest, Yrag = Gary, etc.)"So how am I going to commemorate this event?
Well my idea is to run an adventure on the 27th July, which is Gary Gygax's birthday and it happens to fall on a Friday this year. Since his first adventure took place under Castle Greyhawk, I think it would be most fitting to return to where it all started, in the depths of the DUNGEONS OF CASTLE GREYHAWK.
I would like to share this delve with the rest of the Greyhawk community so that we can all take part in this special occasion, but I will be looking for some volunteers to help me put this project together.
This dungeon delve will be suitable for a small group of 4-6 players and should be able to be completed in a single session of about 3-4 hours of game play. I will like to keep the adventure system neutral thus allowing game masters to easily adapt the delve to each groups preferred rule system.
Anyone interested can come over to Canonfire Forums and take part in the discussion.