How did "tax havens" emerge? Was it created consciously by the Government of that country/territory? Which region, if any, was the world's first tax haven?

I can't answer this question in general, and I am sure there are a lot of historical tax havens I know little about, but I can answer it more specifically for Puerto Rico. Puerto Rico's history as a tax haven originates with the Jones Safroth Act of 1917. The US had just entered WW1, and we were desperate manpower. The act was adopted in part of regularizing the status of Puerto Rico so that they could be drafted. The result was that a hodgepodge of US law applied and didn't apply to Puerto Rico. Most relevant to this response, Puerto Ricans do not have to pay federal income tax, including on capital gains. In 1921, the Section 931 of the internal revenue code was adopted (I'm simplifying massively here, because tax law is complicated) and later replaced with Section 936. Both these regulations basically meant that corporations could repatriate profits to the US without having to pay American corporate tax.

However, the impact of these laws were largely negated by local taxes on corporate income until 1947 when Puerto Rico enacted the first Industrial Incentives act, which effectively eliminated the corporate income tax. The government launched Operation Bootstrap, which added a major marketing campaign to convince American factories to set up shop in Puerto Rico, and sweetened with extensive subsidies from the Puerto Rico Development Company (PRIDCO), a state owned enterprise that worked to promote development in Puerto Rico. Eventually, the combination of low wages, an American legal environment, and the tax subsidies convinced many corporations to invest in Puerto Rico. All of this sparked a major industrial boom, and the economy of Puerto Rico to grow at a rate of 7-10% a year until the 1980s, a rate as fast as that of South Korea, Taiwan and other East Asian tigers.So far, everything I have described is more a genuine growth strategy rather than a deliberate attempt at creating a tax shelter. But something curious started to happen. A lot of factors started to diminish Puerto Rico's nanural advantages as a manufacturing base. Puerto Ricans were no longer willing to work for peanuts, and starting from the 1970s, American minimum wage laws and other labor policies meant that Puerto Rican labor was no longer unusually cheap. Moreover, increased globalization, the rise of China, NAFTA etc. meant that there were a lot more places you could do low cost manufacturing.

Starting from the 1980s, Puerto Rico's industrial structure started to get very strange. Puerto Rico ceased to be a major exporter of labor intensive manufactured goods, but rather of high value pharmaceutical products. It's from this point, I would argue you can think of Puerto Rico as a tax haven. Puerto Rico's industry was increasingly based around tax arbitrage. The key concept to understand is transfer pricing. Corporations and corporate supply chains are highly transnational. So suppose hypothetical corporation produces the high value active ingredient of a drug in Singapore or Ireland. The true value of this active ingredient is $100, but it is sold to the Puerto Rican subsidiary for $10. Since it's the same corporation, this is just fancy accounting tricks. The final drug is processed and packaged and sold for $120. Hypothetical pharma company claims that a $110 worth of value added happened in Puerto Rico, and so that can be excluded from taxation, even though the real value added was $20. It's all a bit complicated, and my apologies if I am garbling the explanation. That said, the numbers involved are huge. The tiny island of Puerto Rico exports something like $50 billion of pharmaceutical products, and this industry primarily exists for the purpose of tax avoidance.

Point is, these tax benefits cost the US government a lot of money. In 1996, President Clinton closed the loophole that allowed this to happen. The rest is too modern for this subreddit, but the final sunsetting of Section 936 in 2006 played a huge role in the decade long recession of Puerto Rico. So to the initial question, did Puerto Rico consciously try to become a giant tax shelter? I'd say the answer is no. However, the government of Puerto Rico has been an active participant in this scheme, from the first Industrial Incentives Act and PRIDCO to today. For example, some of the measures to counteract the current recession include special tax breaks to American billionaires who move their primary residence to Puerto Rico, and the government is lobbying hard to keep it's tax privileged status in any way it can.