Yes, there is a scripture that says "Judah shall go up first." It's found in
Judges 1:2.
The full verse reads: "And the LORD said, Judah shall go up first; behold, I have delivered the land into his hand."
This verse is in the context of the Israelites asking God who should go up first to fight against the Canaanites after the death of Joshua. God designates Judah as the leader in this initial campaign.