As humans describe a day, it's how long it takes for the earth to complete a rotation. The sun happens to be a useful landmark in determining how long a day is, but when you think about it the the existence of the sun isn't a requirement for a day to pass. Therefore, the first day would be the third day, when god created the earth.
But either way, I think god's frame of reference for how long a day is must be pretty different from ours. After all, doesn't it say somewhere in there that a thousand years is like a blink of an eye to him?