What was the first ocean the caspian sea lost connection with

The Pacific ocean.

Explanation:

The Caspian sea is actually a lake, a remnant of an ancient ocean during the mesozoic, the Tethys Sea. This served as a connection between Pacific and Atlantic oceans.  Later on, as the continental platforms changed locations, it lost contact with the pacific ocean at first, then with the atlantic, and it became an isolated water body.

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