There have been alien abduction stories for a long timea long time. The aliens that kidnap people may be short gray humanoids with huge eyes, green-scaled lizard people, blond space Nazis, or even bicardiate human aliens with attachment issues.
But there is one thing that aliens want more than anything else (except perhaps world domination).
They want to probe people. Aliens are frequently portrayed as inserting instruments into the human body, or some orifice thereof, presumably in order to obtain information.
This may have its roots in real-life accounts of alien abductions. Regardless, what was the first science fiction story where aliens probed humans?