Fairly straight forward question, though coming to a verifiable answer may prove difficult. Who was the first artist/band to use a megaphone (to sing through into the mic) during their concerts? I don’t mean for the whole show or even for an entire song, but as a vocal effect. An example would be Scott Weiland of Stone Temple Pilots in the song “Crackerman.”
…or Rudy Vallée in the 1920’s (wiki link). Per the wiki article on megaphone (link), the 1670’s onward would be good years to look at.
Even in the rock era, there were many retro groups like The New Vaudeville Band. I think the Bonzo Dog Band also used a megaphone at points; there was crossover between those two bands and a number of others who dabbled in that style.
Unless the OP has a specific time or genre restriction, the reality is that the megaphone has been around for a long, long time and never completely went away.
I remember Michael Stipe of R.E.M. using one for the song Orange Crush.
It sounds like the Beatles used it in “Honey Pie.”