This link tells that According to the Vedas, Yama is said to have been the first mortal who died. Which scriptures from Vedas mentions the same?
According the link: http://www.sacred-texts.com/hin/rigveda/rv10014.htm , it is mentioned in the Rig-HYMN XIV.
- HONOUR the King with thine oblations, Yama, Vivasvān's Son, who gathers men together, Who travelled to the lofty heights above us, who searches out and shows the path to many. 2 Yama first found for us a place to dwell in: this pasture never can be taken from Us. Men born on earth tread their own paths that lead them whither our ancient Fathers have departed.
The above is also supported by the evidence given in the sanskrit dictionary: http://sanskritdictionary.com/?iencoding=iast&q=यम&lang=sans&action=Search