The text of Paul's letters to the Thessalonians does not identify one as "first" and the other as "second".
None of the quotations of the epistles by the Apostolic Fathers identify "first" or "second":
- Ignatius probably quotes 1 Thess. in chapter 10 of his epistle to the Ephesians
- Polycarp quotes both epistles in chapter 11 of his epistle to the Philippians, but says nothing about their sequence
1 Thessalonians does appear after Colossians in the manuscript P46 (earliest surviving collection of Paul's epistles). This may be a good indicator, or it may not: Paul's epistles are not arranged in chronological sequence in P46 (or in any other manuscript), and the end of the manuscript (which presumably contained 2 Thess.) has been lost.
The closest 2 Thess. comes to referencing a prior epistle is in chapter 2:
15 Therefore, brethren, stand fast, and hold the traditions which ye have been taught, whether by word, or our epistle.
This could be, but is not necessarily a reference to 1 Thessalonians (see 2 Peter 3:1 for a clear example of referring to a prior epistle).
Which of the epistles was written first and how do we know?