It is not possible at this moment in Tailwind, see pseudo class reference for a list possible variants.
In your specific case you might want to use first (or first-of-type) modifier like that:
<div>
  <div class="first:bg-blue-500 bg-red-500">First</div>
  <div class="first:bg-blue-500 bg-red-500">Second</div>
  <div class="first:bg-blue-500 bg-red-500">Third</div>
</div>
Alternatively what you can do is to apply needed styles through js by looking at the index of the element, for example if you have list of elements in React:
      <div>
        {list.map((item, index) => (
          <div
            key={index}
            className={index === 0 ? 'bg-blue-500' : 'bg-red-500'}
          >
            {
              // ...
            }
          </div>
        ))}
      </div>