Earl Shirkey & Roy Harper [i.e., Harvey], "We Have Moonshine in the West Virginia Hills," recorded 22 October 1929 at Johnson City, TN, released on Columbia 15642-D. Presumably written by Harvey, who sings on it (Shirkey is the yodeler), and based on "The West Virginia Hills," (then) unofficial state song here. The NC version is a localization. Harvey (from southern WV) was the guitarist with Charlie Poole and the NC Ramblers and also a prolific recording artist in his own right. He also wrote "The Bootlegger's Dream of Home," to the tune of "When the Roses Bloom Again," and that one, at least, has been collected somewhat traditionally in NC (Brown Coll).

Tony Russell's "Country Music Records 1922=1941" reports an unissued "Moonshine in the North Carolina Hall [sic]" recorded by Claude Casey and group for ARC in 1937. Maybe this is the first localization?

Bill Cox, from Charleston, WV, recorded "The Moonshine in the Hills" at his first session for Gennett, 11 July 1929, though it's probably a different song of similar title (I haven't heard it). Seems to me somewhere I've heard or run across this as "Moonshine in the Old Kentucky Hills," as well.