As others have mentioned, your commands are being run by the shell script before launching your $SHELL; there is no general way the instance of $SHELL can know what its parent ran before starting it.
To get the “initial command” into the shell history, you need to feed the command keystrokes directly to the instance of $SHELL itself (after it has been started, of course). In other contexts I might suggest using a small Expect program to spawn an instance of $SHELL, feed it the keystrokes, then use interact to tie the tty to the expect-spawned $SHELL.
But in the context of tmux, we can just use send-keys:
#!/bin/sh
tmux new-session -d -s foo 'exec pfoo'
tmux send-keys 'bundle exec thin start' 'C-m'
tmux rename-window 'Foo'
tmux select-window -t foo:0
tmux split-window -h 'exec pfoo'
tmux send-keys 'bundle exec compass watch' 'C-m'
tmux split-window -v -t 0 'exec pfoo'
tmux send-keys 'rake ts:start' 'C-m'
tmux split-window -v -t 1 'exec pfoo'
tmux -2 attach-session -t foo