I was reading a book on the history of film and according to it the first film to use the sound of an electronic instrument is the 1932 film by Berthold Bartosch L'Idee (The Idea). The book itself said it was the sound of the Theremin but as you can see from the opening credits the instruments is in fact the Ondes Martenot so maybe the book is a bit dodgy and there is an earlier use of electronic instruments in film. So far this is the earliest I've found.
The score was composed by Arthur Honegger a Swiss composer born in France and spending a large part of his life there."For Berthold Bartosch's animated satire L'Idée, Honegger set the remote, ethereal tones of the Ondes Martenot (representing the eponymous Idea in all its purity) against a restless, urban-jazz tinged ensemble dominated by trombone, trumpet, and alto sax that hinted at the influence of Kurt Weill."
L'Idee iteslf is also groundbreaking being described as the first serious, poetic, tragic work in animation. This of course was before Walt Disney sealed animations fate as being suitable for children only :(
thanks to Tomsutpen for posting the vid.