"First world problems" can apply anywhere in the world. It's not just war and famine everywhere outside the "first world". People in Nairobi probably get equally frustrated at car parking issues or a hairdresser making them look like an idiot. Doesn't matter where you live, you can have relatively trivial problems or massive issues.
And then people use it to shoot down others, e.g. "You should be worrying about people dying in Syria rather than the part Jimmy has got in the school play". I hate the attitude of moral superiority when they've probably spent the last 3 hours sat in front of the TV watching crap.