The Hindu goddess who was Shiva’s first wife and immolated herself was Sati.
Sati, also called Dakshayani, was the daughter of Daksha and a devoted worshipper of Shiva. Although Daksha disliked Shiva’s ascetic appearance and unconventional way of life, Sati married him. Their marriage became central to later Shaiva and Shakta traditions.
According to the best-known Puranic account, Daksha held a great yajna, or sacrificial ceremony, and deliberately excluded Shiva. Sati attended despite the slight. When Daksha insulted her husband, she rejected her father’s conduct and immolated herself. Some textual versions describe this as a yogic or supernatural leaving of the body rather than a literal jump into an ordinary fire.
Shiva’s grief led to the destructive Tandava. Vishnu eventually divided Sati’s body with the Sudarshana Chakra, and the places where parts fell became Shakti Pithas. Sati was later reborn as Parvati, so Parvati is not the answer to this question but Sati’s subsequent incarnation and Shiva’s later consort.