I will run off onto a short tangent. There are other "First Day of" covers you may encounter other than the first day of issue for a stamp. Consider:
A "First Day Cover" of a new post office name.
Although not noted on the covers, this is a pair of Last Day and First Day of rate as the rate changed from 2 cents to 3 cents in 1932
There lots of C11 "First Day of Rate" covers marking the first day of the 5 cent airmail rate in 1928, but which are not the first day of issue of the stamp issued about a week earlier.
First Day and Last Day of a slogan cancel:
The list can go on with:
First and Last Day in Commission for Naval vessels.
First and Last Trip for rail, highway, and air routes.
First Day of operation in a new post office building.
Philatelists commemorated lots of firsts and lasts with covers.
So perhaps the question is better rephrased as "What is a First Day of Issue
cover?", which jleb answers nicely.