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I know that the data is sent only from the forth segment forward, but theoretically can data be carried in the first segment ?

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By RFC a payload may be present and then would theoretically be passed down after the handshake complets. But it could also likely cause an error or be ignored, e.g.

http://tools.cisco.com/security/center/viewIpsSignature.x?signatureId=1314&signatureSubId=0&softwareVersion=6.0&releaseVersion=S272

The RFC where this is defined:

https://www.rfc-editor.org/rfc/rfc793.txt

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