The first pony in Space was her Royal Highness Princess Luna. Despite her visit only lasting a few minutes before exiting Space (at rather unsafe speed) into the face of the Moon, the title still stands.
The second pony in Space was an alchemist by the name of Mercury Infusion, who'd wanted to prove his mentor's theories. And while he never returned, his legacy is honored as the mascot of a brand of energy drinks popular with teenage colts.
The third and fourth ponies in Space (though their exact placement is undetermined) were Rainbow Dash and Pinkie Pie.
...now how do they get back down?
A (rather cutting it close) entry in the No Dialogue Contest.
Special thanks to Shaslan for prereading!