According to some reports, Seneca, a Roman playwright, is a forerunner of radio drama since readers performed his plays as sound plays, rather than actors as stage plays. However, in this regard, he didn’t have significant successors until technological advancements in the 20th-century made the widespread dissemination of sound plays possible.

A Comedy Of Danger was the first play specifically written for radio by Richard Hughes. It aired in January 1924 and was commissioned by the BBC in Britain. The Wolf is the first radio drama in the United States. It was a show adapted from the play of Charles Sommerville by Eugene Walter in 1924 as well. 
However, radio dramas have their origin in another kind of broadcasting, which came before the advent of radio technology. Between 1900–1920, people made use of a network of lines (théàtrophone) for listening to live performances.

No, creating audio drama is actually much easier than filming movies. It has become a favorite entry-point for several storytellers since you only need to pay attention to 3 essential things. These elements are, telling interesting stories, making use of great acting, and combining effective production with sound effects and music. Keep in mind that writing audio drama — a kind of aural entertainment — is scriptwriting.