Even this good little Calvinist knows that there were Roman Catholic dioceses running around in the world before Maryland was settled. Since Maryland was the Catholic colony, it might have been first in Anglo America. Or perhaps they mean the first in Maryland.
"The Diocese of Quebec is the oldest Catholic see in the New World north of Mexico. It was founded as the Apostolic Vicarate of New France in 1658 and was elevated to a Diocese in 1674 and an Archdiocese in 1819."
http://en.wikipedia.org/wiki/Roman_Catholic_Bishop_of_Quebec
Baltimore was elevated to a diocese in 1789, so it misses being the North American champ by a century.
Source: http://www.catholic-hierarchy.org/diocese/dbalt.html#hist
Is this how it was during a game of Trivia Pursuit? ;^)