ENH: Add skipna to groupby.first and groupby.last
- [x] closes #57019 (Replace xxxx with the GitHub issue number)
- [ ] [Tests added and passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#writing-tests) if fixing a bug or adding a new feature
- [ ] All [code checks passed](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#pre-commit).
- [ ] Added [type annotations](https://pandas.pydata.org/pandas-docs/dev/development/contributing_codebase.html#type-hints) to new arguments/methods/functions.
- [ ] Added an entry in the latest `doc/source/whatsnew/vX.X.X.rst` file if fixing a bug or adding a new feature.

There is a case to put this in 2.2.1 as the ability to agg the first element from every group including NA values was removed by changing the behavior of nth in pandas 2.0.0. But also okay to put this in 3.0.
Thanks @rhshadrach 