This is just one thing episode transcripts available online are good for (thank you Shrift's!). It was indeed in "A Clockwork Nebari." I was also keeping my ears open for the first mention of Winona during the full reruns and I distinctly remember it being during a conversation with Chiana.
In the opening scene Crichton and Chiana are arguing about them getting information about a slave auction during a trip to find info on Jothee and about what Chiana had to do to get that info.
CHIANA: You're just crying because Winona jammed!
CRICHTON: *raising pulse pistol* Hey, Winona has been very reliable. It's not her fault that she jammed.
We don't really know how long he's been calling it Winona. Just a couple episodes previously in "Won't Get Fooled Again" Crichton sets his pulse pistol on overload and jams it into a Scarran's mouth. If the pulse pistol actually exploded, it's likely that in ACN he had been calling his current pulse pistol Winona starting only just recently. If the pulse pistol simply released a charged-up shot and didn't explode, maybe it was Winona. Also, on a less canon note, I've read that in the Farscape computer game there is an easter egg in which John "finds" Winona for the first time and that game it set before "A Bug's Life." But that wouldn't make sense since Crichton didn't start regularly carrying a pulse pistol until after sitting in the Aurora Chair.
Sikozu: Tell me, when will we stop following this human and start imposing our agenda on him?
Scorpius: We already have...