I think Jane Swift had a baby when she was acting gov of MA several years ago. But Gov Palin will be the first elected governor to give birth. If that makes a difference. ;)
Some milestones may need an astrisk.
Another example would be that B. Hussein, if elected, would be the first "half Kenyan" to be elected. Or the first half White to be elected. Or the first "choclate President" as the mayor of New Orleans might say.