Actually as far as I am aware the first rides in the park to get their own shop were the Runaway Mine Train, Congo River Rapids and Haunted House all in the same year. Two shops were build for these rides back in 1992, one in each area.
The first major rollercoaster however with it's own retail outlet was Nemesis in 1994. It was a highly themed building located where the Fresh Fish and Chips outlet is now in Forbidden Valley. When Air was built with its large store it was converted into a food outlet before being demolished.
Every coaster built since bar Spinball has its own shop.
Yep, I back this up and pretty sure the conversion of the Rapids and new Runaway Mine Train in 1992 were the first rides to have a shop at Alton Towers, but I don't think the merchandise sold there was themed to the 2 rides. I could be wrong here.
The Haunted House obviously had its own shop in the same year, and from what I can recall this was actually the first one to have branded merchandise.
Interestingly, I cannot recall the Nemesis shop despite clear memories of the ride when it was new in 1994. It's shame they removed it (if it even existed). What I would love to see is when they eventually do a full refurb on Nemesis/FV they should demolish Fish & Craps and the ride photography building, build a new shop with ride photography combined and actually have the exit from Nemesis leading into it like all the other rides. Sub Terra merchandise could be combined with original nemesis stuff which would be great I think.