The Coolpix S1000pj's built-in projector is an innovative first for digital cameras, but first combo honors go to the Wittnauer Cine-Twin 8mm film camera: special base and reel add-ons let it convert into a projector back way back in 1957.
Wittnauer was actually a famous jeweler of all things, and the expensive Cine-Twin was only sold in jewelry stores. Ultimately, the novelty wasn't enough to overcome practical concerns like price, huge D-cell batteries, and a delicate and expensive glass bulb.
Interesting extra: Even before the Cine-Twin, the Cinématographe film camera/projector/developer was invented by French inventor, Léon Bouly, back in 1892. It wasn't like you could just go and pick one up, though.