Caijian Jiang, Tsai-Chien Chiang (2014) Madame Wu Chien-Shiung: The First Lady of Physics Research. World Scientific.
In many, many textbooks she's referred to as Madame Wu. No, no one called Maria Goeppert Mayer, Nobel Prize in physics 1963 Madame Goeppert-Mayer. That's something of a peculiar term of endearment/respect (idk) for Chien-Shiung Wu that caught on for some reason.
The oldest reference I could find is: Gloria Lubkin, 'Chien-Shiung Wu, The First Lady of Physics Research', Smithsonian, Vol. I (January 1971), 52-57.
I am unable to find an online copy of that issue.
There are only a few publications with that phrase before ~2000, and only as citations to the Smithsonian article.
The nickname became popular with the publication of "Wu Jianshong, The First Lady of Physics", a 1996 biography by Caijian Jiang. https://www.worldcat.org/title/wu-jianshong-the-first-lady-o... . It's in Chinese - I believe the citation you give is for an English translation.
For example, in 2000 there was a talk titled 'Wu Chien-Shiung the First Lady of Physics" at the Overseas Chinese Physics Association, see https://books.google.com/books?id=1FRhDQAAQBAJ&lpg=PR7&ots=7... . The speaker borrowed the title from the book.