In the 1980's I read a lot of these. A huge list is at gamebooks.org. So I define a "multiple choice book" as broadly as possible. There can be any type of game system. There can be no game system; the Dungeons and Dragons multiple choice books had none. There can be any settings. The audience can be any age.
But I am not limiting it to the 20th century. I wonder if someone in the middle ages wrote one. It might not have been some monster with skill 10 and stamina 6. If I had to guess my intuition, based on having played 19th century German board games, would be that there was some German late 19th century fantasy author who made a multiple choice book.
But I don't know: who was the first to write one?