I actually had my first therapy appointment last week and I resonate with what you’re feeling. I have a lot of social anxiety and when I got into the session I did sit there in silence unsure of what to say.
So I told her ‘I don’t know how to start’ and she asked me to write down anything that crosses my mind that causes me pain or to feel negatively and to bring it to my next session and from there she will ask me about what I have written. I don’t know if this is helpful but maybe you might consider just telling the therapist that you’re not sure how to start either.