If you are looking for a strict abduction, then in 1946, Planet Comics , a science fiction comic book title ran a story in the July issue detailing how aliens used a luminous tractor beam to kidnap an Earth woman who they labeled "Specimen 9".
You can read the comic online here
(Link provided by @user14111, page 15 of 52).
They evidently need her to help their race survive, as she was told that she was part of "Project Survival", as they took her to out near Saturn, as outlined in this web article .
There is some evidence of earlier reports ( Part I , Part II ) both in media and local lore, going as far back as the late 19th century, but I don't know the provenance of such reports.
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Kurd Laßwitz "Auf zwei Planeten" ( Two planets ) from 1897 might qualify, at least if your idea of abduction does not necessarily include violence.
In the book human explorers strand on a Martian bridgehead at the North Pole.
The Martians want to take one of them to their home planet, however their ethics do not allow for outright abduction (but still they don't want to take no for an answer).
After a while convince one of the humans to go to Mars (and he later returns).
scifi.stackexchange.com/users/16087/Eike Pierstorff
"The Star Mouse" (1942) by Fredric Brown is about an Earthling who is abducted, modified, and returned to Earth by space aliens.
However, the Earthling is a mouse, and he is abducted not from the surface of the Earth but from a rocket en route to the Moon, so I'm not sure it counts.
Instead I will nominate: 1936: "The Human Pets of Mars" , a novella by Leslie Francis Stone , first published in Amazing Stories , October 1936 , available at the Internet Archive .
Here is an excerpt from Everett F. Bleiler 's description in Science-Fiction: The Gernsback Years : Place: Washington, D.C., and Mars.
*
The gigantic, glowing, drum-shaped vessel settles down in Washington, and several fifty-foot-tall creatures like gigantic octopi emerge.
Since they make no hostile moves, and seem to be simply sightseeing, they are not molested while they wander the streets of Washington.
But as they return to their vessel they seize individuals from the streets and make off with them.
Police shoot, but the ten-tentacled octopi (called decapods), clad in golden, glowing armor, are impervious.
Two members of the Bureau of Standards, Brett Rand and George Worth, who had crept into the vessel, are also taken prisoner.
*
They all awaken in a strange milieu, where the gigantic decapods maintain a high civilization.
After examination by the rulers, the Earth people are taken one by one by individual decapods to their dwellings, where it soon becomes obvious that the captives are considered pets, not well-tended pets, but ill-treated, misunderstood, arbitrarily mishandled pets.
*
It is not clear how many Earth people were taken, for several were vivisected, but those who stay in the story for various periods of time seem to number about fifteen.
In the end a few of the captives escape and make their way back to Earth in a commandeered Martian spacecraft.
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The earliest, overtly scifi version, that I can find is The Whisperer in Darkness (1931).
However, I asked Jess Nevins about this a few years ago, and he contends that it's probably an evolution from the stories of fairies etc kidnapping humans .
scifi.stackexchange.com/users/21264/Jon B
In Hugo Gernsback's futuristic novel Ralph 124C41+ (1911) a visiting Martian scientist falls in love with Ralph's girlfriend and abducts her, this being sort of an alien abduction.
No doubt a lot of other ETs in the pulps kidnapped people for various reasons
scifi.stackexchange.com/users/43538/M. A. Golding
Which fictional work (of any format) was the first to feature the abduction of a human from Earth by aliens?  In particular, did this work precede the first reports of purported abductions in the media, or did it come later?
Which came first: fictional works involving alien abduction or claims of alien abduction?
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<aliens><history-of><alien-abduction>
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Kurd Laßwitz' "Auf zwei Planeten" ( Two Planets ) from 1897 is the earliest of the examples given, along with Hugo Gernsback's futuristic novel  Ralph 124C41+  (1911); The Whisperer in Darkness  (1931); and a story in Planet Comics in 1946 detailing how aliens used a tractor beam to kidnap woman called "Specimen 9". Out of the four works listed, the first fictional work to feature an abduction was Auf Zwei Planeten (Two Planets) in 1897.
The following titles feature an abduction of a human from Earth: Auf Zwei Planeten (Two Planets) in 1897, Ralph 124C 41+ in 1911, The Whisperer Darkness in 1931 and Planet Comics in 1946. The earliest of these titles is Auf Zwei Planeten (Two Planets). 