I think OP means first real sandbox game as opposed to first true open world game. Most LoZ's are open world, and the original was also sandbox.
However; MGSV was not a true sandbox game, so I don't really get the comparison here... you were allowed a lot of different missions and areas to roam, but certain things you couldn't access and there were still mission areas you couldn't leave during the game.
Come December when Xenblade X releases, I think we will get a first real feel of what Nintendo is going for.I do agree with OP that adventure as opposed to story has always been LoZ's primary focus. So I think it may translate better to a sandbox game better than both MGSV and Xenoblade X. Time will tell.