“Two double plays were made on each side, and the Actives missed a triple play on a wide throw of HATFIELD’s to first base.” New York Times, July 1, 1866, p8
Previous earliest use (Dickson Baseball Dictionary, 3rd edition, 2009):
1ST USE. 1867. “Gus Stillwagner, on first base, made a handsome triple play, by catching a fly ball, and putting two men out running their bases” (Detroit Advertiser and Tribune, Oct. 30; Peter Morris).