I stumbled across Olga Praguer Coelho singing and playing guitar on a recording of Casinha Pequenina on YouTube. Click play to listen to the music, and then scroll down for more information about the connection with Segovia and what might have been the first guitar concert with nylon guitar strings.
Strangely, there isn’t a Wikipedia page for her in English — I could only find one in Portuguese.
According to this page written by Fabio Zanon:
Nylon strings were first tried on stage by Olga Coelho in New York in January, 1944.
From 1944 she left her husband and started a relationship with Andres Segovia, which was to last for over a decade. She went to live with him in New York, from where she continued to develop her international career. Segovia wrote several arrangements for her, which gave her opportunity to display serious skills as a guitarist. Her career lasted until the 70’s, when she came back to Brazil to live in an apartment block built on the site of her family residence. As she grew older, she also fell in relative obscurity.
Olga used to perform on a Hauser I guitar believed to be a sister of Segovia’s celebrated instrument. She is frequently mentioned as the very first guitarist to give a concert on nylon strings.
Villa-Lobos wrote the arrangement of his own Bachianas no.5 for her at Segovia’s request and Bartok was on the front row to see her in Budapest.
I looked for a source of that information, and Wikipedia credits page 193 of The Illustrated History of the Guitar by Alexander Bellow. I don’t have a copy of the book, but Google Books was able to show a short preview of that section: