The blisters occur in the second degree burn. The first degree burn only cause the damage to the outer layer of the skin. The blisters are a result of the accumulation of the fluid between the epidermis (outer layer of the skin) and the layers below it. So, for blisters to occur, at least damage to two layers of skin is necessary.
In first degree burn, due to the damage to epidermis only, the redness occur and the blisters does not occur.