The 1st Empire was the Ayleids in the Mythic Era, so Serana was sleeping before then. ALso, consider this, only in the Mythic Era that the Daedric Princes walk around on Nirm. The 1st Age, the 8 block or at least very limited the Daedric Princes on Nirm. She said was sleep before there was an empire, is that Human or Mer one? The 1st human empire was founded by Alessia, also known as the "Slave-Queen" and later http://elderscrolls.wikia.com/wiki/Canonization as "Saint Alessia", was a human http://elderscrolls.wikia.com/wiki/Female during the http://elderscrolls.wikia.com/wiki/First_Era. Or are talking just he Nord empire of Skyrim, not whole of Nirm?
In Short, Serana was sleeping either in the Mythic Era or the 1st Era from my best guess.