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Trick question. The first nation to explore, claim, and settle what is now the state of Georgia was the Cherokee Nation. The first European nation to land on what is now Georgia was Spain. The first European nation to colonize it was England; it was a penal colony.
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Of course, a nation should have both because a nation will not have freedom if it doesn't have the ability to govern. The ability to govern is to make freedom for the nation and to make a nation independent.
Depending on which argument you follow, the 13 colonies, pre-United States, was the first "modern" nation-state. Refer to wikipedia or Encyclopedia Britanica.