To determine which fitness event happened first among the options you provided, here are the approximate timelines for each event:
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YMCA opens in a gym in America: The first YMCA (Young Men's Christian Association) in the United States was established in Boston in 1851.
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PE becomes part of American School curriculum: Physical education began to be incorporated into American schools in the late 19th century, with varying degrees of emphasis. By the 1900s, many schools had some form of physical education program.
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Nautilus machines hit the market: Nautilus introduced its first machines in the early 1970s, with the first Nautilus training center opening in 1970.
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Elliptical trainers became popular: Elliptical trainers became widely popular in the 1990s.
Based on this information, the first event to occur was the establishment of the YMCA in America in 1851.