The first Governor of the colony of Pennsylvania was its founder and Proprietor, William Penn.*
The first Governor of the Commonwealth of Pennsylvania after the creation of the United States was Thomas Mifflin, whose term began in 1790.
*"Proprietor" meaning Penn had personally received a grant of the entire colony from King Charles II of Great Britain. Penn spent much of his time in England and during his absences, the colony was actually governed by its lieutenant governor - who was referred to by the colonists as the governor. Penn was the actual legal Governor, however, even though he was more usually referred to as the Proprietor.