So, I’m writing a story where the main character is immortal, and is trying to reconnect with his daughter after his wife’s passing.

The first scene I want to do will astablish that he’s immortal, and that there’s no way out of it for him. How would you do that in the first chapter?

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There are basically two ways: you tell the audience directly or you show them through the characters actions, thoughts, and other hints. As a rule, showing is better than telling if you can indeed show it, but some things are difficult to express without stating them explicitly; in such cases clarifying through exposition is acceptable, though it should typically be minimized.

For this case, simply ask yourself what being an immortal means for him, how that is manifested in his past, his personality, and so on. If it is told from his perspective, you can have him ponder things events from far enough in the past to get the idea across. If he knows there's no way out, you can have him lament or ponder his circumstances - whether he is resentful or "making the most of it" or whatever else is a matter of his character, but he can surely react to it in some way and in that you can hint that he's stuck.

Focus on what being this sort of immortal means to him and for him, and look for ways to highlight those aspects of his character or history or motivation.