The 29-year-old Irish champion from the Warren Point Club was the only player in the 122-strong field to break par in windy conditions.
She had halves of 40 and 32 and finished the day one in front of former Welsh champion Becky Brewerton, Germany's Denise Simon and Tracy Atkin.
Coffey, runner-up in the St Rule Trophy earlier in the month and eighth in the Helen Holm Scottish Open Stroke Play Championship, burst into life after the turn and had three consecutive birdies, finishing off with two in the last four holes.
Nightmare round
"I am pleased with the way I'm hitting the ball at the moment and I am spending a lot of time sharpening up my short game," said Coffey, who hopes to make her Curtis Cup debut against the Americans in Pittsburgh.
Brewerton struck the ball solidly and had halves of 38 and 35 in her 73, finishing with a birdie three at the 348-yard 18th where her seven iron second shot finished eight feet from the flag.
Rebecca Hudson and Emma Duggleby,winner of the crown when it was last contested in Wales at Newport in 1994, are both well-placed to occupy strong qualifying places after rounds of 74 and 75 respectively.
But their fellow Great Britain & Ireland international Fame More, unbeaten in the Vagliano Trophy Match against the Continent of Europe in Venice last July, has considerable work to do after a nightmare 84.
After the second qualifying round on Wednesday the leading 64 will go forward to the knock-out stages, with the final over 18 holes on Saturday afternoon.
Ladies Amateur Open Golf Championship, Ashburnham, West Wales
Leading first rd scores:
72 A Coffey (Warrenpoint)
73 B Brewerton (Abergele), D Simon (German), T Atkin (Leamington and County)
74 L Kenny (University of Stirling), R Hudson (Wheatley), A Highgate (Cottrell
Park)
75 V Laing (Musselburgh), E Duggleby (Malton & Norton), V Beauchet (Fra), J
Dartford (Orsett), T Woodyer (Saunton)
76 S Jones (Pennard), P Fraysse (Fra), K Evans (Conwy), H Svensson (Swe), C
Court (Goodwood), K Heywood (Crompton and Royton), E Mckinnon (Nairn)
77 A Laing (Vale of Leven), L Wright (Pepperdine), E Weeks (Hockley), V Uwland
(Anglesea), D Rushworth (Woodsome Hall),L.Holm Sorensen (Den), M Quartana (Ita)
78 L Mar (Spa), K Borjeskog (Swe), H Stirling (Bridge of Alan), R Prout
(Betchworth Park), M Gillen (Beaverstown), M Allen (Moor Park), K Honisch
(Germany), K Dobson (Fulford), J Pritchard (Tredegar Park), S Evans (Vale of
Llangollen)
79 K Smith (Waterlooville), E Pilgrim (St Pierre), M Prieto (Spa), A Knutson
(Swe), M Campomanes (Spa), K Engstrom (Swe), R Fry (Aus), C Queen (Drumpelier),
J Ross (Whitley Bay), M Morrin (The Curragh), M Hillier (Ger), R Bell (Ganton).