Well, there’s the whole legend about Lann the Clever being an “adventurer from the east,” but even then the Lannisters would have the blood of House Casterly…

But to answer your question: the male line of the First Men Lannisters failed with Gerold III, but since Joffrey Lannister ne Lydden married Gerold’s daughter, it’s not like the Andal Lannisters don’t have First Men blood in them. Although it is interesting that since the time of Damon, the Lannisters have tended to have issue with houses of Andal descent: Braxes, Kyndalls, Marbrands, Leffords, etc…