Both are correct. The technical difference is that, in one, the first "first" is a noun and, in the other, an adjective. In other words: "the first one of all that are first" or "more first than all that are first". If this distinction matters to you, choose accordingly, but, as I said, both are verbally correct expressions.

'Our God is merciful, the first of the first' is grammatically correct, but logically wrong, I think. However, 'The first of the first' part can't be meaningfully used, because it's like you're saying you have a list of God's and among them your God is the 'first' (best). It would be more meaningful to just use 'Our God is merciful'.