This would be difficult to answer, since polybagging magazines was normally only a thing for shipping them through the mail, and even then, not all publications did it. Normally magazines were polybagged on the newsstand if they contained something the publisher didn't want to get lost/stolen, like a 3.5" floppy or a CD-ROM, or if the contents were not appropriate for all-ages. You most commonly saw this with PC magazines of the era, where you could pick from the regular issue or pay a few dollars more to get the one with the disk/CD. I usually paid the premium for the CD.
As to who did it first? My subscription issues of Nintendo Power from the late 80s always shipped in polybags, but they were the only gaming mag I had a subscription to back in the day so I don't know if EGM and GamePro were doing that first. I picked up some newsstand issues of EGM and GamePro back in the late 90s and early 2000s that were polybagged, because they came with a poster or a mini strategy guide, but this was not the norm.
*huggles*
Areala