Well, it might actually not have been the first one (sources contradict each other), but it is real.

This majestic beast was a gift from the Bey of Algiers to king Fredrik I of Sweden in 1731, and was kept on Djurgården (Stockholm) until it died. And once it was dead, it was decided that it had to be conserved, for future generations to see. When the taxidermist finally got the lion though, it was only in the form of skin & bones, and he apparently did not know what a lion should actually look like. And this was the result.

This lion can still be seen, in the museum in Gripsholms Slott. 

Mr. Lion looks happy for the children.

There was a lion scare recently in Virginia. Here

 I really like that story - far better than if the lion looked perfect.  I mean, how many lions are there on the planet who look like this one?  Better by far to have one that's unique.