Why call a poem about candles a "first fig"? That's a good question, since figs and candles aren't really often thought of as necessary couples like, say, Bert and Ernie—or Brangelina.
There's one basic reason, although even that doesn't give us too much to go on: Millay titled the book in which this poem was published A Few Figs From Thistles. Wanna guess where this poem was in the lineup? (If you said it was first, you're right.) So, it's the first poem in the book, so Edna might as well announce it as a "First" in the title, as well.
But fig? Well, that's where things start to get interesting. See, figs are often associated with the female body, because folks tend to think that the inside of figs looks women's lady parts. (Check out the "Images" section here for a link to some great fig imagery.) Millay, of course, is a female poet—and she graduated from Vassar, which was at the time one of the few women's colleges in the country.
So calling her book A Few Figs From Thistles could just be a smack down to the very male-centric culture of poetry. She's presenting figs. And they're surrounded by… thistles. (Thistles, in case you were wondering, are those prickly unappealing weeds that tend to grow in the middle of fields.) It's pretty clear who the winner of that particular competition would be.
There's also some really lovely alliteration going on: both words start with F, which makes the title sound a lot more appealing than if it were, say, "A New Fig." And fig is just a fun word to say. Try it out a few times. Air rushes over your tongue as you pronounce the F and stops short when you end on the G. You could think of the work your mouth does making the word "fig" as something sort of close to the work of the poem: it's a short burst of life followed by a definite End, with a capital E. That might just be what night looks like after the two flames of the candle burn themselves out completely.