Menachem, this Gemora does not explain when Yehudi started to be used like that. Avraham clearly was not a Yehudi :).
Turns out there are pre-Ester references: references in Yermiyahu sound like referring to the tribe. but Zacharia 8:23 seem to refer to Yehudi in a religious sense in the context of nations coming to learn and this is how Gemora Shabbos 32 seems to understand it.