Menard K
I really don't think you are going to get a pat answer on this one, different historians will probably give different answers. My take on the subject is that in the 1930's when custom built luxury cars where the toys of movie stars ( etc...) they had ashtrays installed in the cars, but I can't cite you a year or specific model ... GOOD LUCK nailing this one down....

Sunset♥
People smoked long before cars were invented. Therefore, it wouldn't surprise me if the first car built had an ashtray.

mypals
I don't know what year.... but I don't think it took too long to figure out that throwing it out the window setting your neighbor's cornfield on fire or smashing it out on the floor, seat or yourself or passenger was a good thing.