My understanding is that the Hill abduction is one of the first claims. But the idea of extraterrestrials goes back to at least Giordano Bruno. Were people just unable to conceptualize interplanetary travel? Was interplanetary travel too far removed a concept from the minds of the general public to spread such an idea as alien abduction?
It depends on what you are looking in to as far as claims of abduction are concerned. In the modern context, people are abducted by aliens, but prior to the industrial revolution, people were abducted by all manner of creatures with very similar features of the abduction to what we call alien abductions in modern times.
I would suggest researching into the fey folk, fairies and sprites and gnomes encountered in the woods as they contain similar elements of missing time/time dilation, diminutive creatures with amazing powers over human beings, messages to be delivered to the populace as a whole concerning grave misfortunes to come.