It depends what you mean by "major", but that's what you get when you use such terms.
The Blue Angel was the first 'talkie' that Marlene Dietrich appeared in, and the one in which she sang Falling In Love Again, which would become her signature song. It was also the film that shot her to international fame. But it was by no means her first film, and it wasn't the first film in which she was given star billing – so not her "first major role".
Wikipedia lists 18 films in which Marlene Dietrich appeared during the 1920s, and she received star billing in about eight of them. They were all made in Germany (as was The Blue Angel), but many of them were released in the USA.
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