Louisa Adams, wife of John Quincy Adams, was born in England marking the last (and only other time) that a first lady was not born in the USA...

Well sorta.

Apart from Louisa Adams, the first eight first ladies were born in what is NOW the USA, but at the time was British America

Hannah Van Buren (nee Hoes), wife of Martin Van Buren, was the first First Lady to be born in the USA - Kinderhook, New York to be precise. She died before Martin Van Buren took office, but Van Buren's second wife, Sarah Angelica Singleton Van Buren (née Singleton), was born in the USA as well.