Is the EU the world's first supranational political union?
Usually, it connotes a voluntary pooling of power/competence by sovereign nations. This is in contrast to political entities that came into being (at least in part) due to military conquest or where parts were pressured into joining. Also, supra-national requires the members to be nations.
Now of course you can argue about what is a nation and what is not, and what is conquest and what liberation. Depending on your definitions of those terms you get a different answer to your question.
But I think you could make a case that the EU is the first such union, for example:
- in a western context, not all USSR member states are usually considered having joined voluntarily
- annexation of Spanish territories and the American Civil War could question whether the USA was really formed by member states joining the union completely voluntarily
- the Hanseatic city-states might not be considered nations
- was the German Confederation forced upon the German states by the Congress of Vienna?
The United Nations and League of Nations, are usually referred to as international organisations not supranational unions because their powers are much more limited than the EU's, the United Nations are not named The Union of Nations after all. Its members are represented through their executive branches only, whereas the EU has been granted the competence to enact its own laws and has a parliament which is directly elected by the member nations' citizens (even if its powers are currently limited).
I guess the definitions of all these terms are highly opinion based. Throughout history there always were loose federations of tribes (which arguably doesn't fit because they were not meant to last and/or were usually ruled by one of the tribes).
The Holy Roman Empire was probably the first thing that meets your criteria.
One thing that history shows us though is that such loose political unions never last, either because they split or because they become more and more centralized.
edit: After reading some comments and answers: My initial understanding was that in order to be "supernational" it needs to be decentralized, which doesn't seem to be the case.