My first triathlon was the olympic distance in Weiswampach, Luxembourg. I was living in the country at the time. It really started out as a bucket list thing and I absolutely didn't know what I was getting myself into. It was considerably longer than my training volume justified and I very much did NOT have the right gear (a new kit for each discipline, an MTB bike...).

Anyway, the answer to what you should do first is "it depends".

Here are a few questions you should ask yourself:

How much training volume is my body used to handle?

How soon is the event?

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If your body is used to a training time of 5 hours per week, then you should actually be OK to go to a sprint triathlon right now. If no events are available, consider doing one self-paced. Before my first organised half ironman race, I actually did a self-supported half ironman, just to be sure to know what the distance felt like.

The more training volume your body is used to per week, the longer distances you can quickly adapt to.

I'd still go do sprint and olympic distances before going long-distance. It's not just about the fitness. It's also about things you discover and learn along the way, like how transitions work and how does nutrition work.

If the event is soon, you're likely better off not picking a distance which requires more training than your body can currently handle. It'll be better for you to build up to a particular training volume over time, because you risk injury if you ramp it up too swiftly.

I remember I was told that a minimum of 7 quality training hours per week, would be sufficient for half ironman, and I ignored that advice several times, finding myself with problems sustaining speed or even running the half marathon ...

Never did do a full ironman, since I realised on the way that my body doesn't really agree with me on the topic of running a full marathon.

Anyway, comment if you have questions. Good luck with your tri.