What was the first talkie -- Al Jolson and "Jazz Singer" or an Australian movie about Ned Kelly?

1930: First Australian talkie

Shooting commenced in June 1930 on Showgirl's Luck, the first full-talkie feature made in Australia. Plagued by technical problems, it was not released until November 1931. Prior to the filming of Showgirl's Luck, two features with sound segments, Fellers (1930) and The Cheaters (1930), were completed.

Source

Shirley, G & Adams, B 1983, Australian Cinema the First Eighty Years, Chapter 5 'The New Pioneers', Currency Press, Sydney, p 111.

https://aso.gov.au/chronology/1930s/

Talkies get their name from the recorded dialogue that played in sync with the images on screen. Movies from the Silent Film Era (1894-1929), were largely recorded and played without sound. Most of these films relied on intertitle text to explain key plot points and live pianists, organists, and orchestras to provide score and sound in the theater. As technology advanced, recorded dialogue made its way into film and "talking pictures" were born.

Warner Brothers, an emerging studio at the time, was one of the first Hollywood companies to take interest in sound technology and heavily invested in the Vitaphone sound-on-disc system. In 1926, they released Don Juan, the first full-length movie to feature synchronized score and sound effects using this method. Though the film itself did not have recorded dialogue, musical shorts and a recorded speech from Will Hays, president of the Motion Picture Producers and Distributors of America and founder of Central Casting, accompanied the feature. In his speech, Hays said, "My friends, no story ever written for the screen is as dramatic as the story of the screen itself."

In 1927, The Jazz Singer, another Warner Brothers film, became the first feature with recorded dialogue, though the spoken lines were only heard in two scenes. A year later, Lights of New York became the first all-talking full length feature and due to its commercial success, set Hollywood on a path that saw an end to the Silent Era and made way for films as we know them today.

https://www.centralcasting.com/how-talkies-changed-the-film-industry/