The right paddle from Pong was a Red-headed Raccoon chick with a fetish for inflation. True story, bro.

Naw, seriously, I tried to do a bit of research (mostly wikipedia), but I haven't been able to come up with many that were earlier than Jazz Jackrabbit. My best guess would be Amy Rose, tho.

Of course, there were likely all sorts of obscure Japanese characters that appeared in games before that.

HB

Foxy Roxy?

Alley Katt?

I've heard of Foxy Roxy, but who is Alley Katt?

HB

Man...Katt from BOF2?

You mean first furry chick in video games?

yeah , damsell in distress , playable character , any female wih fur.

The possum princess from Rocket Knight, Jenny from BOH on the NES would predate that by a technicality. I think the Nintendo gen would be the earliest for any furry chick in games.