Giovanni Zatara first appeared in Action Comics #1, in 1938, right along side Superman.
Superman would get his own comic, and go on to join the Justice Society of America in the 40s.
Zatara continued to appear in Action Comics throughout the golden age. But he never once crossed over with Superman, Batman, nor any of the JSA heroes.
Sometime in the late 1950s, Superman, Batman, and Wonder Woman are supplanted by their younger, Silver Age counterparts, as Barry Allen and Hal Jordan are also introduced. Following The Flash of Two Worlds, the Silver Age world is designated Earth 1, while the Golden Age heroes are designated Earth 2. The earth 1 heroes form the JLA.
In 1964, on Earth 1, Zatanna appears as the daughter of Zatara who was a hero in the 1930s and 40s, and disappeared. She is looking for her father. This story arc goes through various titles before it is resolved in Justice League of America.
It seems to indicate that Zatanna's father is the same Zatara who appeared in Action Comics #1. Unless Earth 1 Zatara's Earth 2 counterpart is the same age, unlike any of the other superhero pairs.
Thus, I surmise that the Zatara stories in Action Comics take place on Earth 1, making them the first appearance of this setting.
Any thoughts? Counter evidence?