Yes Bret Hart became the first grand slam champ in 1993, he had won all the titles and the King Of The Ring that year, and it was a full four years before the European Title came into existence.Bret was alone in that category for three full years before Shawn won the WWF title at WM12.
That does not count as a grand slam winner. At the time you would have to win the World, intercontinental, european, and tag team championships to be a grandslam champ. The king of the ring in no way counts. If that counted then the royal rumble would have to count and shawn would be a grand slam champ in 1996 instead of 1997.