Well, that’s an artist doing a crossover with his own works, which is a lot more common than crossovers with the works of others. Robert E, Howard did it (Kings of the Night and Edgar Rice Burroughs did it (Tarzan at the Earth’s core) and so did others. H. Rider Haggard beats these.
But, in the spirit of SDMB one-upmanship, I have to point out that it’s not the first. She and Allan dates from 1921, but Jules Verne had multiple crossovers in his books in the 19th century – Captain Nemo from 20,000 Leagues shows up in The Mysterious Island (1874), as does someone from In Search of the Castaways/The Children of Captain Grant. And in 1882 his stage play Journey through the Impossible brings together characters from several of his books, including Captain Nemo.