I'd say out of any Zeppelin tapes I'd be happiest to see something from the New Yardbirds tour surface. As far as what the setlist would have been for the first show, here's my two cents:
1. Train Kept a Rollin
2. Can't Quit You
3. Dazed & Confused
4. White Summer
5. You Shook Me
7. For Your Love
I based the order of the songs on what we know the band tended to do in early shows, as evidenced by recordings of the first US tour. We pretty much know for certain as well that they would have played "Train Kept a Rollin", Dazed & Confused", and "White Summer", especially since we have photographic evidence of the latter being played (Page with his Danelectro and Bonham using mallets). The overwhelming majority of the time in this era they opened up with "Train" and went straight into "Can't Quit You" afterwards, so I would assume this is what they did here too.
In recordings of early shows "White Summer" usually comes right after "Dazed & Confused", hence its placement as the fourth song of the set. Likewise "You Shook Me" is generally played later in early sets, so I had it come after. We also see Plant and his harmonica in the Gladsaxe photos, so perhaps he had a harmonica solo on there just like on the record. I would argue that they played "Flames" by Elmer Gantry's Velvet Opera instead of "ALAIHY". Page even stated on his website that they played "Flames" on the first tour, and the probable setlist on the official Zeppelin website makes no mention of "ALAIHY" either. I believe "ALAIHY" came later in the tour, perhaps they would have played it in Stockholm. I have heard rumors that they supposedly recorded a version of it in the studio that didn't make it onto the first record, but I haven't seen any evidence to support this.
"For Your Love" likely came towards the end of the show, using its appearances on tape in January '69 as reference. From there "HMMT" would have been the closer, since we see this in almost all early performances, as well as on the record itself. It is also to my belief that by the start of the tour, "HMMT" would have already been fleshed out for the most part. Zeppelin is rumored to have played "Smokestack Lightning" at their first rehearsal, so in the three week span until the tour started they probably had "HMMT" in much of the same form as on the record. Like "ALAIHY", "Communication Breakdown" would have likely appeared later in the tour, I would suspect that they had it partially fleshed out by the time they left for Scandinavia and then played it during the last few shows.
One question I do have about the first tour is if they actually played additional dates past the show in Gothenburg on 15th September. Wikipedia says that they played a few dates in Norway, and Plant supposedly remembers playing in Bergen as well.