The Lumieres bros. shot films that are, essentially, documentaries in the late 1800s. They were active before any of the directors you listed, since they basically (after stealing some of Edison's work) invented the modern film camera. Also, I don't believe Edison ever directed, but hired people (Edwin Porter, I believe he liked) to make films.
The earliest film that I know of that modern viewers would call a documentary would be Nanook of the North, from '22, a little after most of those directors. It follows an Eskimo and his family through their lives, explaining what they're doing (with title cards, of course).