" I generated a mojolicious app with the command mojo generate app first-app. It generated the app structure.."

Didn't it say something like:

marto@Shemp:~/mojotmp$ mojo generate app first-app
Your application name has to be a well formed (CamelCase) Perl module 
+name
like "MyApp".
[download]

"My error when running morbo ./script/first-app in the root of the project directory is this error:"

morbo ./script/first-app should be morbo script/first-app, of if you stayed in the directory you ran mojo generate... morbo first_app/script/first_app