Siena Blaze was depicted in Stryfe's Strike File #1 before her first physical appearance.
Siena's first appearance can be hard to pin down. X-Men Unlimited (1st series) #1 and Uncanny X-Men (1st series) #301 are both cover dated "June 1993", and Uncanny X-Men Annual (1st series) #17 was also released that month. According to archived data on shipping dates, UXM #301 hit stores the first week of the month, UXM @17 the third week, and XMU #1 the last week. So Uncanny X-Men (1st series) #301 is technically Siena's first appearance, even though it takes place third chronologically, and both it and the annual included footnotes directly readers to check out X-Men Unlimited #1 first for Siena's debut!
Siena Blaze was killed in the Neverland concentration camps in Weapon X (2nd series) #5. She was resurrected by Selene during the Necrosha event and, like several other mutants, survived Selene's defeat and the de-animation of many of the fallen mutants.