Philip the Arab was the first.
The emperor Septimius Severus (193-211) was from Libya but apparently had some Italian ancestry. Macrinus (217-218) was born in Caesarea in Mauretania; I don’t know if he had any Roman or Italian ancestry. Elagabalus (218-222) was the grandson of Septimius Severus’ Syrian wife and was a devotee of the Syrian god Elagabal. I don’t know how much, if any, Roman ancestry he had. He was possibly the weirdest Roman emperor.