On January 3, 1828, The New York Mirror: A Weekly Gazette of Literature and the Fine Arts, published a description of what was supposedly the first fancy-dress ball ever held in New England, held at Norfolk House in Roxbury, Massachusetts, on "Wednesday last".
Roxbury is now part of the city of Boston, but at the time it was a separate town. According to the Roxbury Wikia entry on Norfolk House, it was originally built in 1781 as a private residence. It was then sold to the Norfolk House Company in 1825 and opened as a public house in 1827 with the addition of a hall for public assemblies, which may be seen at back left in this image of Norfolk House (click to enlarge) from Roxbury, by Anthony Mitchell Sammarco (Arcadia Press, 1997), p. 17. The original building was demolished in 1853 and replaced by a new Norfolk House, which still stands today.
The Mirror article describing the ball was reprinted from the Boston Evening Gazette, to which I don't have immediate access, so it's not clear on what date the ball was actually held. Given the timing of Norfolk House's opening to the public, it cannot have been before 1827. Since there is no reason to suppose the Mirror article was delayed for long, my best guess would be Wednesday, December 26th. A fancy dress ball makes sense as part of seasonal celebrations.
As is typical of nineteenth-century fancy dress ball descriptions, the author spent more time on the decorations and costumes than on the dancing, but he did note that dancing started at seven o'clock in the evening and that the music consisted of "airs, waltzes, and marches" performed by an orchestra under the direction of a Mr. M. Mann.
The costume list is a miniature treasure trove of costume ideas:
Ladies -- Lady Jane, Fairstar, Duchess of York[,] old lady, flower girls, Zulieka, Turkish girls, Spanish girls, nuns. Minna, dress of a young lady one hundred and fifty years ago, Greek girls, cottage girls, antique lady, &c. &c. &c.
Gentlemen -- Duke of Buckingham, Hamlet, Mahomed II, Chinese Hong merchant, Goldfinch, private secretary of the King of Spain, Sir Charles Surface, Governor Hancock's rich silk dress, rich velvet dress of Governor Hancock, young gentleman's dress one hundred years ago, Othello, Reuben Glenroy, Fitz-James, Jaffier, Macbeth, English hunting-dress, dress of Copley, farmer boy, revolutionary uniform of the ancient and honourable Artillery Company country squires, Turks Count de Grasse, hussars, French barber, knights, counts, &c. &c.
Many of these are recognizable figures from history or literature. Governor Hancock would have been the Revolutionary War patriot John Hancock (famed for his oversized signature on the Declaration of Independence), who served twice as Governor of Massachusetts and would still have been within living memory for older citizens. Sir Charles Surface is a character from Sheridan's famous play The School for Scandal. Othello, Macbeth, and Hamlet are from Shakespeare, of course, and the Duke of Buckingham and Duchess of York were probably taken more from Richard III than from history. The Buckingham costume is mentioned separately as well:
The Duke of Buckingham again played his part, unawed by the sanguinary Richard, and united with Governor Hancock in voting his crooked-backed master no republican.
Some costumes were actual historical pieces recycled by the descendants of their original wearers:
It was very amusing and quite grotesque to observe, in several instances, the real old-fashioned antique costume, of a century ago, worn by the grandsons and granddaughters of the present day.
And, of course, there were kilts:
Highlanders appeared in full dress, and trod the hall as proudly as they would their native mountains and crags.
Fancy dress and masquerade balls had a reputation for licentiousness, and the author hints at such concerns by proclaiming it a "festive and innocent display of ingenuity and taste". He or she hoped that such balls might become part of the "harmless follies of the day."