This is definitely a first for me. Following a rain delay, a lucky fan took use of the tools he had readily available when a foul ball was hit his way. The fan was able to snag a foul ball using his open umbrella. The umbrella played the part of a first baseman’s glove on steroids, and it did it quite well.  As mentions:

We’ve seen people dressed as birds catch foul balls. We’ve seen fans snatch flying bats like it’s nothing. We’ve seen objects land in beer cups (and the beer chugged, of course).

But, an umbrella grab is the first of its kind that we know of.