What vegetable was used to make the first jack-o-lanterns

Turnips and potatoes.

Explanation:

The practice of making jack-o-lanterns started in Ireland and Scotland.

In this countries people began making their own Jack-o-lanterns by carving scary faces into turnips or potatoes and placing them into windows or near doors to frighten away evil spirits.

In the 1800's a couple of waves of Irish immigrants came to America and they noticed that pumpkins were easier to carve out so they started to make jack-o-lanterns out of them and this tradition remains until today.