The term "Hugeunots" is generally used to refer to Protestants in France during the 16th and 17th centuries. We do not know what individual French person first became Protestant so we cannot exactly say who began the Huguenot faith.
However, it is generally correct to say the the beliefs of the Huguenots came fairly directly from John Calvin, the Swiss reformer who broke from the Catholic Church in the 1530s. One definition of Huguenots (see link below) is that they were followers of Calvin. Another is that they were members of the Reformed Church, a church that was connected to Calvin.
So if any one person could be said to have started the Huguenot faith, it would be John Calvin.