I believe that one requirement for handguns to be sold in states like New York and Massachusetts is a test cartridge case for ballistics tracking purposes. Someone else on the forum is probably better informed and may correct me.
There's not much more to it than it being the casing packed in for states who want to create and maintain the database regarding hammer / primer strikes and breechface marks on the casing. The states that do this get the casing, those that don't leave the casing in the box.
-I couldn't tell you whether it's the very first round from the test fire rounds or a subsequent round.