What ancient civilization first began it and why? I can see keeping you car keys on a nipple ring so don't lose them but that's the only reason I can think of for it.
My guess is the practice pre-dates any civilization. I am not sure specifically regarding body piecing but tattoos have probably been around since the earliest humans and maybe even before that. I think they have found preserved bodies of early hunter gatherers with tattoos from over 10000 years ago. I am sure there are theories but I doubt if anyone even knows the reason for tattoos in pre-civilization humans. Maybe for magic, maybe for religious purposes, maybe a medical practice or maybe just for aesthetics. I don't recall specific examples but I am sure those early hunter gathers probably pieced their bodies too. Ear lobes, tongue, lips, nose we often see examples presently or in recent history of peoples doing this. There is not reason to assume early human did not do the same thing. Again, the same with tattoos, there is probably no single theory for why early human did body piercings.