Last night, I was watching the movie Silver Streak, and in the scene where the FBI is responding to catch Devereau on the titular train, there is a siren sound that sounds like a Federal Signal PA-15A/PA-20A Series E "in-between" tone, except at a lower pitch, so that means that this movie could quite possibly precede The Blues Brothers in being the first movie to use such a sound effect. See the clip below.
(Please forgive the fact that this was a recording of a TV screen; this was the only such clip I could find)
(Please forgive the fact that this was a recording of a TV screen; this was the only such clip I could find)