We have a free flowing well at our lake place. We just turned the pump on for the first time .the pump filled the water heater but no water filled the pressure tank. Not sure why

Assuming you have a bladder tank, which is probably true, then it will take a few weeks for the tank to "lose" enough air to fill properly. There is a bladder in the tank which separates air above the bladder from water beneath it. The problem you have arises from the fact that the tank now has air both above and below the bladder. The air below will eventually dissolve into the water and be gone. At that point, the tank will fill properly. Takes a few weeks to happen.