The subject of the "first" sound film is always a bit of a thorny one. Films with sound on disc were made as early as 1901, similar to the Al Jolson "Vitaphone" production THE JAZZ SINGER, often claimed to be the "first" sound films ever made by so many histories (not true).
Usually though, all they did was to show musical performances, rather than dialogue, and were screened as novelties. The first ever sound film screened in Glasgow is therefor (as in most cities) lost in the mists of time, along with most of the films ever made before 1929.
As for mainstream, Hollywood product though, most sources seem to agree that the first fiction feature sound film shown in Glasgow was THE SINGING FOOL, starring (the real) Al Jolson, on January 7th 1929 at the Coliseum on Eglinton Street.
The US gave us a white man in absurd "black face" make up singing about his Mammy. Meanwhile, even as THE SINGING FOOL was being screened in Glasgow, Alfred Hitchcock was filming Anny Ondra stabbing a would be rapist to death in Britain's first synch sound feature film, the vastly superior BLACKMAIL.
Ondra. Psycho