Oprah Winfrey headed to the Apollo Theater for the first time Thursday. “I heard this is the first time Oprah has ever been to the Apollo,” Alicia Keys told us at the Keep a Child Alive Black Ball, where Winfrey was honored for her philanthropic efforts — including her involvement with The Oprah Winfrey Leadership Academy for Girls in South Africa. “You have to confirm, but I think I might be right,” Keys added, only to get it confirmed by O’s bestie Gayle King. “I was surprised,” admitted King, who told reporters she’d returned from a trip to Africa with Winfrey days ago. “I said listen, didn’t you go to the . . . ? And she said, ‘no, no, no.’ [But] is there a better time to come to the Apollo than for Alicia Keys and Keep a Child Alive?” Whoopi Goldberg played emcee for the night that included performances by Keys, Jennifer Hudson, Bonnie Raitt, the Alabama Shakes’ Brittany Howard and honoree Angélique Kidjo. Billionaire Stewart Rahr, who Page Six reported may be making as much as a $800 million divorce payout to wife Carol, donated $1 million to the event, which raised $2.9 million to support families affected by HIV/AIDS in Africa. The gala evening was originally scheduled for Nov. 1 but rescheduled due to Sandy.