What was the first live concert we went to together?
Which live concert did we go to for the first time?
この場合、次のような言い方ができますよ。
ーWhat was the first live concert we went to together?
「一緒に初めて行ったライブはなんでしょうか?」
ーWhich live concert did we go to for the first time?
「初めてどのライブに一緒に行ったでしょうか?」
ご参考まで!